ダウンロード数: 200
タイトル: | Dynamic Conditional Correlations for Asymmetric Processes |
著者: | Asai, Manabu McAleer, Michael |
キーワード: | Dynamic conditional correlations Matrix exponential model Wishart process EGARCH GJR asymmetric BEKK heavy-tailed errors |
発行日: | Dec-2010 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 747 |
抄録: | The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (WDCC) model and the Matrix-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. The paper presents an empirical example using the trivariate data of the Nikkei 225, Hang Seng and Straits Times Indices for estimating and forecasting the WDCC-EGARCH and WDCC-GJR models, and compares the performance with the asymmetric BEKK model. The empirical results show that AIC and BIC favour the WDCC-EGARCH model to the WDCC-GJR and asymmetric BEKK models. Moreover, the empirical results indicate that the WDCC-EGARCH-t model produces reasonable VaR threshold forecasts, which are very close to the nominal 1% to 3% values. |
URI: | http://hdl.handle.net/2433/134629 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/747.html |
出現コレクション: | KIER Discussion Paper (英文版) |
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