کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
998343 1481457 2011 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate semi-nonparametric distributions with dynamic conditional correlations
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Multivariate semi-nonparametric distributions with dynamic conditional correlations
چکیده انگلیسی

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporating a flexible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric-DCC (SNP-DCC) model allows estimation in two stages and deals with the negativity problem which is inherent in truncated SNP densities. We test the performance of a SNP-DCC model with respect to the (Gaussian)-DCC through an empirical application of density forecasting for portfolio returns. Our results show that the proposed multivariate model provides a better in-sample fit and forecast of the portfolio returns distribution, and thus is useful for financial risk forecasting and evaluation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 27, Issue 2, April–June 2011, Pages 347–364
نویسندگان
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