Functional gradient descent for financial time series with an application to the measurement of market risk

Francesco Audrino، نويسنده , , Giovanni Barone-Adesi، نويسنده ,

روزنامه با شماره پیاپی سال 2005

19

959

977

Dynamic conditional correlations model , Value-at-Risk , Volatility estimation , Functional gradient descent , Constant conditional correlations model

Journal of Banking and Finance

2005

Journal of Banking and Finance

193718