Results 1 to 10 of about 392,639 (215)
Investigating ICAPM with Dynamic Conditional Correlations [PDF]
SSRN Electronic Journal, 2007 This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock’s conditional ...
Bali, Turan G., Engle, Robert F.
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Dynamic Conditional Correlations for Asymmetric Processes [PDF]
JOURNAL OF THE JAPAN STATISTICAL SOCIETY, 2009 The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models.
Manabu Asai, Michael McAleer
core +18 more sources
Projected Dynamic Conditional Correlations
International Journal of Forecasting, 2022 The Dynamic Conditional Correlation (DCC) model is one of the leading approaches in the literature for modeling time-varying correlation matrices. In the DCC framework the conditional correlation matrix is modeled as a function of the so called pseudo ...
Christian T. Brownlees +1 more
semanticscholar +2 more sources
Spatial effects in dynamic conditional correlations [PDF]
Journal of Applied Statistics, 2016 The recent literature on time series has developed a lot of models for the analysis of the dynamic conditional correlation, involving the same variable observed in different locations; very often, in this framework, the consideration of the spatial interactions is omitted.
E. Otranto +2 more
semanticscholar +3 more sources
Ten Things You Should Know about the Dynamic Conditional Correlation Representation [PDF]
Econometrics, 2013 The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution
Massimiliano Caporin, Michael McAleer
doaj +13 more sources
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS [PDF]
Econometric Theory, 2017 The properties of dynamic conditional correlation (DCC) models, introduced more than a decade ago, are still not entirely known. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a diffusion matrix of reduced ...
C. Hafner +2 more
semanticscholar +6 more sources
Nonlinearities and regimes in conditional correlations with different dynamics [PDF]
Journal of Econometrics, 2020 New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that these models provide a specific dynamics for each correlation.
L. Bauwens, E. Otranto
semanticscholar +7 more sources
A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation [PDF]
Mathematics and Computers in Simulation, 2006 We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle (2002) and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al. (2006).
Massimiliano Caporin, Monica Billio
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A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations [PDF]
SSRN Electronic Journal, 2011 We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data and the model conditional covariance matrix is ensured to be positive definite. We study
F. Audrino, F. Trojani
semanticscholar +5 more sources
Dynamic Conditional Correlations in Political Science
American Journal of Political Science, 2008 Time‐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, J. Box-Steffensmeier
semanticscholar +2 more sources