نتایج جستجو برای: dynamic conditional correlation model
تعداد نتایج: 2747252 فیلتر نتایج به سال:
Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed. These have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations. They are not linear but can often be esti...
This article examines whether incorporating investors’ uncertainty, as captured by the conditional volatility of sentiment, can help forecasting stock markets. In this regard, using Markov-switching multifractal (MSM) model, we find that uncertainty substantially increase accuracy forecasts market according to forecast encompassing test. We further provide evidence MSM outperforms dynamic corre...
This paper introduces new ways to construct probability integral transforms of random vectors that complement the approach of Diebold, Hahn, and Tay (1999) for evaluating multivariate conditional density forecasts. Our approach enables us to “scan” multivariate densities in various different ways. A simple bivariate normal example is given that illustrates how “scanning” a multivariate density ...
Background and purpose: To analyze the data in which the correlation between observations are to be considered, a general method is using marginal model with repeated measures, yet there is another method called conditional model with random clusters. Âccording to the binary responses, the aim of the present study is to compare the efficiency of these two models in studying the risk factors a...
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