Dynamic Conditional Correlation with Elliptical Distributions
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- Matteo M. Pelagatti & Stefania Rondena, 2005. "Dynamic Conditional Correlation with Elliptical Distributions," Econometrics 0503007, University Library of Munich, Germany.
References listed on IDEAS
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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- Engle, Robert F & Sheppard, Kevin K, 2001.
"Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH,"
University of California at San Diego, Economics Working Paper Series
qt5s2218dp, Department of Economics, UC San Diego.
- Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
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- Polonik, Wolfgang & Yao, Qiwei, 2008. "Testing for multivariate volatility functions using minimum volume sets and inverse regression," Journal of Econometrics, Elsevier, vol. 147(1), pages 151-162, November.
- Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
- You, Leyuan & Daigler, Robert T., 2010. "Is international diversification really beneficial?," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 163-173, January.
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More about this item
KeywordsMultivariate GARCH; Correlation; Elliptical distributions; Fat Tails;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-05-27 (All new papers)
- NEP-ECM-2006-05-27 (Econometrics)
- NEP-ETS-2006-05-27 (Econometric Time Series)
- NEP-FMK-2006-05-27 (Financial Markets)
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