Results 271 to 280 of about 392,758 (334)

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
semanticscholar   +2 more sources

Dynamic Conditional Correlation Multiplicative Error Processes

Journal of Empirical Finance, 2016
We 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.
Taras Bodnar, N. Hautsch
semanticscholar   +3 more sources

Dynamic conditional angular correlation

Journal of Econometrics, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jarjour, Riad, Chan, Kung-Sik
openaire   +2 more sources

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
openaire   +1 more source

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.
openaire   +1 more source

Dynamic correlations and volatility spillovers between subsectoral clean‐energy stocks and commodity futures markets: A hedging perspective

Journal of futures markets, 2023
This study investigates the time‐varying connectedness between subsectoral clean‐energy stocks and fossil fuel energy commodities (crude oil, natural gas, and coal) over the period of December 2013–January 2023 employing the Diebold and Yilmaz approach ...
Merve Coskun
semanticscholar   +1 more source

Variance clustering improved dynamic conditional correlation MGARCH estimators [PDF]

Computational Statistics & Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gian Piero Aielli, CAPORIN, MASSIMILIANO
openaire   +3 more sources

Dynamic Correlation Under Isochronal Conditions

2018
Results 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
openaire   +1 more source

Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis

Energy Economics, 2019
This paper explores the dynamic conditional correlation and volatility linkage between Islamic indexes and oil for BRIC countries. Correlations between these assets increase during the global financial crisis for India and China but not for Brazil and ...
K. Hassan, Ariful Hoque, D. Gasbarro
semanticscholar   +1 more source

Robust Forecasting of Dynamic Conditional Correlation GARCH Models

SSRN Electronic Journal, 2010
Large 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, Danielsson, Jon, Laurent, Sébastien   +2 more
openaire   +4 more sources