Dynamic Conditional Correlation with Elliptical Distributions
The Dynamic Conditional Correlation 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 twosteps estimate of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to some stocks listed at the Milan Stock Exchange. A free software written by the authors to carry out all the required computations is presented as well.
|Date of creation:||11 Mar 2005|
|Date of revision:|
|Note:||Type of Document - pdf; pages: 11. Presented at the 2nd OxMetrics User Conference, London, August 2004.|
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