13-113/III - Predicting Covariance Matrices with Financial Conditions Indexes

• Authors
  Anne Opschoor, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam; Michel van der Wel, Erasmus University Rotterdam
• Publication date
  August 9, 2013

• Keywords
  Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies
• JEL
  G17, G23, E44