𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

✍ Scribed by Robert Engle

Book ID
115522997
Publisher
American Statistical Association
Year
2002
Tongue
English
Weight
435 KB
Volume
20
Category
Article
ISSN
0735-0015

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Simplified specifications of a multivari
Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
✍ Iris W.H. Yip; Mike K.P. So πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 189 KB

Recent developments in multivariate volatility modeling suggest that the conditional correlation matrix can be described by a time series recursion, where the total number of parameters grows by the power-of-two of the dimension of financial returns. The power of two computational requirement makes

A generalized Dynamic Conditional Correl
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
✍ Monica Billio; Massimiliano Caporin πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 518 KB

We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle [R.F. Engle, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics 20 (2002) 33