DCC-GARCH Model for Market and Firm-Level Dynamic Correlation in S&P 500

DOI10.1142/9789811202391_0129zbMath1451.91183MaRDI QIDQ5139580

Chunchi Wu, Peimin Chen, Ying Zhang

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0129

zbMATH Keywords

contagion; risk management; multivariate GARCH; dynamic conditional correlation; DCC-MVGARCH

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G45: Financial networks (including contagion, systemic risk, regulation)

91G15: Financial markets