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Publications (1)4.48 Total impact

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    D.S. Matteson, David Ruppert
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    ABSTRACT: Economic and financial time series typically exhibit time-varying conditional (given the past) standard deviations and correlations. The conditional standard deviation is also called the volatility. Higher volatilities increase the risk of assets and higher conditional correlations cause an increased risk in portfolios. Therefore, models of time-varying volatilities and correlations are essential for risk management.
    IEEE Signal Processing Magazine 10/2011; · 4.48 Impact Factor