IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-642-00142-0_80.html
   My bibliography  Save this book chapter

Applied Flexible Correlation Modeling

In: Operations Research Proceedings 2008

Author

Listed:
  • Frederik Bauer

    (Bremen University)

  • Martin Missong

    (Bremen University)

Abstract

Summary Estimation of correlations of asset returns lies at the core of modern portfolio management. For the seminal Dynamic Conditional Correlation model [1], several generalizations have been proposed recently. In this contribution, we focus on the Flexible Dynamic Conditional Correlation model proposed in [2]. Using both simulation exercises and applications to observed return data, we show that the exible specification performs well only in very restrictive cases, contradicting the “flexibility" of the approach. However, our results indicate that model performance can be improved substantially by a particular adjustment of the variance specification

Suggested Citation

  • Frederik Bauer & Martin Missong, 2009. "Applied Flexible Correlation Modeling," Springer Books, in: Bernhard Fleischmann & Karl-Heinz Borgwardt & Robert Klein & Axel Tuma (ed.), Operations Research Proceedings 2008, chapter 80, pages 495-500, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-00142-0_80
    DOI: 10.1007/978-3-642-00142-0_80
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-642-00142-0_80. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.