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

DOI10.1080/07474930903038834zbMath1172.62036OpenAlexW2140092748MaRDI QIDQ3182774

Philip Hans Franses, Christian M. Hafner

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

zbMATH Keywords

multivariate GARCHdynamic conditional correlation

Mathematics Subject Classification ID

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

Related Items (10)

Robust ranking of multivariate GARCH models by problem dimension ⋮ Variance clustering improved dynamic conditional correlation MGARCH estimators ⋮ Estimation and empirical performance of non-scalar dynamic conditional correlation models ⋮ The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ On the estimation of dynamic conditional correlation models ⋮ ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS ⋮ Estimating VAR-MGARCH models in multiple steps ⋮ A scalar dynamic conditional correlation model: structure and estimation ⋮ Multivariate rotated ARCH models ⋮ Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations

Cites Work

• Unnamed Item
• Testing for linear autoregressive dynamics under heteroskedasticity
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Multivariate Stochastic Volatility: A Review

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