A component model for dynamic correlations

DOI10.1016/J.JECONOM.2011.02.013MaRDI QIDQ128853zbMATH OpenOpenAlexFDO

Authors Riccardo Colacito, Robert F. Engle, Eric Ghysels, Riccardo Colacito, Robert F. Engle, Eric Ghysels

Publication date September 2011

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://archive.nyu.edu/handle/2451/27885

zbMATH Keywords

forecastingdynamic correlationsmixed data sampling

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Nonlinearities and regimes in conditional correlations with different dynamics
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• Dynamic modeling of high-dimensional correlation matrices in finance
• A flexible dynamic correlation model

Cites work

• Alternative models for stock price dynamics.
• Asymptotic theory for a vector ARMA-GARCH model
• Asymptotic theory for multivariate GARCH processes.
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Matrix Analysis
• Modeling volatility persistence of speculative returns: a new approach
• Statistical inference for time-varying ARCH processes

Cited in

(18)

• A neural network enhanced volatility component model
• Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation
• Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks
• Long-run comovements in East Asian stock market volatility
• Is the effectiveness of government bonds as a diversifier of equity risk weakened after the Covid-19 crisis?†
• Multivariate rotated ARCH models
• The conditional autoregressive Wishart model for multivariate stock market volatility
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
• dccmidas
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
• Bootstrap tests of multiple inequality restrictions on variance ratios
• Tail dependence network of new energy vehicle industry in mainland China
• Managing risk with a realized copula parameter
• Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
• The shifting dependence dynamics between the G7 stock markets
• Dynamic factor multivariate GARCH model
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• On loss functions and ranking forecasting performances of multivariate volatility models

This page was built for publication: A component model for dynamic correlations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q128853)