Arbeitspapier
Ten Things you should know about the Dynamic Conditional Correlation Representation
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic properties; DCC is not a special case of GARCC, which has testable regularity conditions and standard asymptotic properties; DCC is not dynamic empirically as the effect of news is typically extremely small; DCC cannot be distinguished empirically from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 13-078/III
- Klassifikation
-
Wirtschaft
Methodological Issues: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Econometrics
Financial Forecasting and Simulation
- Thema
-
DCC representation
BEKK
GARCC
stated representation
derived model
conditional covariances
conditional correlations
regularity conditions
moments
two step estimators
assumed properties
asymptotic properties
filter
diagnostic check
Korrelation
Statistische Methode
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caporin, Massimiliano
McAleer, Michael
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Caporin, Massimiliano
- McAleer, Michael
- Tinbergen Institute
Entstanden
- 2013
Ähnliche Objekte (12)
Ten things you should know about the dynamic conditional correlation representation
Ten Things you should know about DCC
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on ftse
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Ten things you should know about the dynamic conditional correlation representation
Ten Things you should know about DCC
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on ftse
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access
Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay
Ten things you should know about the dynamic conditional correlation representation
Ten Things you should know about DCC
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Asymmetry and leverage in conditional volatility models
Asymmetry and Leverage in Conditional Volatility Models
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics
Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? Comparing squared end-of-day returns on ftse
Prevention is better than the cure: Risk management of COVID-19
The Fundamental Equation in Tourism Finance
The Journal of Risk and Financial Management in open access