کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140129 956713 2009 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
A generalized Dynamic Conditional Correlation model for portfolio risk evaluation
چکیده انگلیسی

We propose a generalization of the Dynamic Conditional Correlation multivariate GARCH model of Engle [R.F. Engle, Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models, Journal of Business and Economic Statistics 20 (2002) 339–350] and of the Asymmetric Dynamic Conditional Correlation model of Cappiello et al.[L. Cappiello, R.F. Engle, K. Sheppard, Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics 25 (2006) 537–572]. The model we propose introduces a block structure in parameter matrices that allows for interdependence with a reduced number of parameters. Our model nests the Flexible Dynamic Conditional Correlation model of Billio et al. [M. Billio, M. Caporin, M. Gobbo, Flexible dynamic conditional correlation multivariate GARCH for asset allocation, Applied Financial Economics Letters 2 (2006) 123–130] and is named Quadratic Flexible Dynamic Conditional Correlation Multivariate GARCH. In the paper, we provide conditions for positive definiteness of the conditional correlations. We also present an empirical application to the Italian stock market comparing alternative correlation models for portfolio risk evaluation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 79, Issue 8, April 2009, Pages 2566–2578
نویسندگان
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