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Robust forecasting of dynamic conditional correlation GARCH models

✍ Scribed by Boudt, Kris; Daníelsson, Jón; Laurent, Sébastien

Book ID
120178839
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
646 KB
Volume
29
Category
Article
ISSN
0169-2070

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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.