Average conditional correlation and tree structures for multivariate GARCH models
نویسندگان
چکیده
منابع مشابه
Average Conditional Correlation and Tree Structures for Multivariate GARCH Models
We propose a simple class of multivariate GARCH models, allowing for time-varying 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. Our model is very parsimonious. Estimation is computationally feasible in very large dimensions...
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Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of returns. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed. These have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations. They are not linear but can often be estim...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2006
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.1014