Results 121 to 130 of about 41,020 (169)

Dynamic conditional angular correlation

Journal of Econometrics, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jarjour, Riad, Chan, Kung-Sik
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Spurious Dynamic Conditional Correlation

SSRN Electronic Journal, 2012
Autoregressive-type multivariate GARCH (MGARCH) models have been widely adopted by scholars to measure time-varying correlation structures. It is a well-known stylized fact that conditional correlations generated by these models tend to exhibit a highly unstable and erratic behavior under certain conditions.
Roland Füss, Thorsten W. Glück
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Dynamic Conditional Correlation: On Properties and Estimation [PDF]

Journal of Business & Economic Statistics, 2011
We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation parameters can lead to misleading conclusions.
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Variance clustering improved dynamic conditional correlation MGARCH estimators [PDF]

Computational Statistics & Data Analysis, 2011
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Gian Piero Aielli, CAPORIN, MASSIMILIANO
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Dynamic Conditional Correlation

Journal of Business & Economic Statistics, 2002
Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation models is proposed.
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Resurrecting the Conditional CAPM with Dynamic Conditional Correlations

SSRN Electronic Journal, 2010
This paper provides a time-series and cross-sectional investigation of the conditional and unconditional capital asset pricing model (CAPM). The unconditional CAPM fails, but the conditional CAPM with dynamic conditional correlations (DCC) succeeds in generating a significantly positive risk-return tradeoff.
Turan G. Bali, Robert F. Engle
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