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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper738
Available onlineOther Libraries in Japan
  • Summary, etc....used models of conditional covariances and correlations in the class...
  • Subject HeadingConditional correlations conditional covariances diagonal models scalar models...

Ten Things You Should Know About DCC

Ten Things You Should Know About DCC
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-03KIER Discussion Paper854
Available onlineOther Libraries in Japan
  • Summary, etc....ts the dynamic conditional covariances of the standardized residuals...
  • Subject Heading... Derived model Conditional covariances Conditional correlations Regu...

Ten Things You Should Know About the Dynamic Conditional Correlation Representation

Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Digital文書・図像類
Caporin, Massimiliano, McAleer, MichaelInstitute of Economic Research, Kyoto University2013-06KIER Discussion Paper870
Available onlineOther Libraries in Japan
  • Summary, etc....ts the dynamic conditional covariances of the standardized residuals...
  • Subject Heading... derived model conditional covariances conditional correlations regu...

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-638
Other Libraries in Japan
  • Subject HeadingConditional correlations conditional covariances diagonal models forecasting g...

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
Paper文書・図像類
Caporin, Massimiliano, McAleer, Michael日本経済国際共同センター2010-02Discussion paper series. CIRJE-FCIRJE-F-713
Other Libraries in Japan
  • Subject HeadingConditional correlations conditional covariances diagonal models forecasting g...

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