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Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation

✍ Scribed by Billio, Monica; Caporin, Massimiliano; Gobbo, Michele

Book ID
120278734
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
154 KB
Volume
2
Category
Article
ISSN
1744-6546

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We propose a simple class of multivariate GARCH models, allowing for timevarying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations.