5. Use QMLE to estimate in the exponential smoother version of the dynamic conditional correlation (DCC)

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5. Use QMLE to estimate in the exponential smoother version of the dynamic conditional correlation (DCC) model for two assets. Set the starting value of to 0.94. Calculate the 1-day, 1% VaR.

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Elements Of Financial Risk Management

ISBN: 9780128102350

2nd Edition

Authors: Peter Christoffersen

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Question Posted: Oct 19, 2024 12:00 PM

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5. Use QMLE to estimate in the exponential smoother version of the dynamic conditional correlation (DCC) model for two assets. Set the starting value of to 0.94. Calculate the 1-day, 1% VaR.
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5. Use QMLE to estimate in the exponential smoother version of the dynamic conditional correlation (DCC)

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Elements Of Financial Risk Management

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