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DCフィールド | 値 | 言語 |
---|---|---|
dc.contributor.author | Caporin, Massimiliano | en |
dc.contributor.author | McAleer, Michael | en |
dc.date.accessioned | 2013-03-29T00:01:58Z | - |
dc.date.available | 2013-03-29T00:01:58Z | - |
dc.date.issued | 2013-03 | - |
dc.identifier.uri | http://hdl.handle.net/2433/172696 | - |
dc.description.abstract | 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. | en |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Institute of Economic Research, Kyoto University | en |
dc.publisher.alternative | 京都大学経済研究所 | ja |
dc.subject | DCC | en |
dc.subject | BEKK | en |
dc.subject | GARCC | en |
dc.subject | Stated representation | en |
dc.subject | Derived model | en |
dc.subject | Conditional covariances | en |
dc.subject | Conditional correlations | en |
dc.subject | Regularity conditions | en |
dc.subject | Moments | en |
dc.subject | Two step estimators | en |
dc.subject | Assumed properties | en |
dc.subject | Asymptotic properties | en |
dc.subject | Filter | en |
dc.subject | Diagnostic check | en |
dc.subject.ndc | 330 | - |
dc.title | Ten Things You Should Know About DCC | en |
dc.type | research report | - |
dc.type.niitype | Research Paper | - |
dc.identifier.jtitle | KIER Discussion Paper | en |
dc.identifier.volume | 854 | - |
dc.textversion | author | - |
dc.sortkey | 00854 | - |
dcterms.accessRights | open access | - |
出現コレクション: | KIER Discussion Paper (英文版) |
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