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Dynamic Conditional Correlation with Elliptical Distributions

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Author Info
Matteo Pelagatti
Stefania Rondena
Abstract

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.

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File URL: http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20060508.pdf
File Format: application/pdf
File Function: Revised version, May 2006
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Publisher Info
Paper provided by Università degli Studi di Milano-Bicocca, Dipartimento di Statistica in its series Working Papers with number 20060508.

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Length: 12 pages
Date of creation: Jun 2004
Date of revision: May 2006
Handle: RePEc:mis:wpaper:20060508

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Postal: Via Bicocca degli Arcimboldi 8, 20126 Milano
Web page: http://www.statistica.unimib.it
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Related research
Keywords: Multivariate GARCH; Correlation; Elliptical distributions; Fat Tails;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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This page was last updated on 2009-11-17.

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