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Dynamic conditional correlation multiplicative error processes
Journal of Empirical Finance, 2016We introduce a dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model, we map the resulting residuals into a Gaussian domain using a copula-type transformation.
Bodnar, Taras, Hautsch, Nikolaus
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Dynamic Conditional Correlations in Political Science
American Journal of Political Science, 2008Time‐varying relationships and volatility are two methodological challenges that are particular to the field of time series. In the case of the former, more comprehensive understanding can emerge when we ask under what circumstances relationships may change.
Matthew J. Lebo +1 more
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Dynamic Correlation Under Isochronal Conditions
2018Results of various methods of evaluating the dynamic correlation volume in glassforming liquids and polymers are summarized. Most studies indicate that this correlation volume depends only on the α-relaxation time; that is, at state points associated with the same value of τ α , the extent of the correlation among local motions is equivalent. Nonlinear
C. M. Roland, D. Fragiadakis
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Robust Forecasting of Dynamic Conditional Correlation GARCH Models
SSRN Electronic Journal, 2010Large one-off events cause large changes in prices, but may not affect the volatility and correlation dynamics as much as smaller events. In such cases, standard volatility models may deliver biased covariance forecasts. We propose a multivariate volatility forecasting model that is accurate in the presence of large one-off events.
Boudt, Kris +2 more
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Interest in cryptocurrencies predicts conditional correlation dynamics
Finance Research Letters, 2022Abstract Using a Smooth Transition Conditional Correlation model with Google search data as a transition variable, I investigate correlation dynamics between a set of crypto-currencies. A major change in the correlation dynamics after the 2017 bubble burst is explained by the attention subsequently surrounding cryptocurrencies.
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Volatility Threshold Dynamic Conditional Correlations: An International Analysis [PDF]
Journal of Financial Econometrics, 2012 This article proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional Correlation multivariate GARCH model to allow the dynamics of correlations to depend on asset variances through a threshold structure.
M. Kasch, CAPORIN, MASSIMILIANO
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Dynamic Conditioning and Credit Correlation Baskets [PDF]
, 2008 Dynamic conditioning is a technique that allows one to formulate correlation models for large baskets without incurring in the curse of dimensionality. The individual price processes for each reference name can be described by a lattice model specified semi-parametrically or even nonparametrically and which can realistically have about 1000 sites.
Albanese, Claudio, Vidler, Alicia
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Forecasting Time-Varying Correlation using the Dynamic Conditional Correlation (DCC) Model [PDF]
, 2014 Hedging strategies have become more and more complicated as assets being traded have become more interrelated to each other. Thus, the estimation of risks for optimal hedging does not involve only the quantification of individual volatilities but also include their pairwise correlations.
Mapa, Dennis S. +3 more
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Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation
Applied Financial Economics Letters, 2006This paper introduces the Flexible Dynamic Conditional Correlation (FDCC) multivariate GARCH model which generalizes the Dynamic Conditional Correlation (DCC) multivariate GARCH model proposed by Engle (2002). The FDCC model relax the assumption of common dynamics among all assets used in the DCC model.
M. BILLIO +2 more
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Tracking Dynamic Conditional Neural Correlation during Task Learning
2024 46th Annual International Conference of the IEEE Engineering in Medicine and Biology Society (EMBC)Single neuron modulates the external stimuli, and neural population coordinates to encode information. An alternate method for examining the coordinated populational activity in neural encoding is conditional neural correlation (CNC). However, such correlations are not static during a new task learning process as neurons adapt their tunings over time ...
Zixu, Wang +3 more
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