A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
نویسندگان
چکیده
منابع مشابه
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
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). The model we propose introduces a block structure in parameter matrices that allows for interdependence with a reduced number of parameters. Our model nests the Flexible Dynamic Conditional Correlation...
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ژورنال
عنوان ژورنال: Mathematics and Computers in Simulation
سال: 2009
ISSN: 0378-4754
DOI: 10.1016/j.matcom.2008.12.011