A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets

DOI10.1080/07474930903038834zbMATH Open1172.62036OpenAlexW2140092748MaRDI QIDQ3182774FDOQ3182774

Authors: Christian M. Hafner, Philip Hans Franses 

Publication date: 16 October 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930903038834

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zbMATH Keywords

multivariate GARCHdynamic conditional correlation

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Testing for linear autoregressive dynamics under heteroskedasticity
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Title not available (Why is that?)
• Multivariate Stochastic Volatility: A Review
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility

Cited In (28)

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• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
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• Variance clustering improved dynamic conditional correlation MGARCH estimators
• A generalized class of correlated run shock models
• Weak diffusion limits of dynamic conditional correlation models
• High dimension dynamic correlations
• Applied flexible correlation modeling
• Nonlinearities and regimes in conditional correlations with different dynamics
• Improving forecasts with the co-range dynamic conditional correlation model
• A flexible dynamic correlation model
• Multivariate rotated ARCH models
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
• Estimation and empirical performance of non-scalar dynamic conditional correlation models
• The uncertainty of conditional returns, volatilities and correlations in DCC models
• A generalized dynamic conditional correlation model for portfolio risk evaluation
• On the stationarity of dynamic conditional correlation models
• VaR in High Dimensional Systems – a Conditional Correlation Approach
• A scalar dynamic conditional correlation model: structure and estimation
• Robust ranking of multivariate GARCH models by problem dimension
• Estimating VAR-MGARCH models in multiple steps
• Dynamic asset correlations based on vines
• A GARCH-variance dependent approach to modelize dynamic conditional correlations
• DCC-GARCH model for market and firm-level dynamic correlation in S\&P 500
• Heterogeneous asymmetric dynamic conditional correlation model with stock return and range
• On the estimation of dynamic conditional correlation models
• Dynamic conditional angular correlation
• A component model for dynamic correlations

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