Estimation and Empirical Performance of Non-Scalar Dynamic Conditional Correlation Models
نویسندگان
چکیده
منابع مشابه
Estimation and empirical performance of non-scalar dynamic conditional correlation models
This paper presents a method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go beyond the standard scalar case. The algorithm is based on the maximization of a Gaussian quasi-likelihood using a Bregman-proximal trust-region method to handle the various non-linear stationarity and positivity constraints that arise in this context. We co...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2407652