Dynamic Conditional Correlations for Asymmetric Processes
نویسندگان
چکیده
منابع مشابه
Dynamic Conditional Correlations for Asymmetric Processes
The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...
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The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents a...
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ژورنال
عنوان ژورنال: JOURNAL OF THE JAPAN STATISTICAL SOCIETY
سال: 2012
ISSN: 1348-6365,1882-2754
DOI: 10.14490/jjss.41.143