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A generalized Dynamic Conditional Correlation model for portfolio risk evaluation

机译:用于投资组合风险评估的广义动态条件相关模型

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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 Asymmelric 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 mode! 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.
机译:我们提出了Engle [R.F.的动态条件相关多元GARCH模型的一般化。 Engle,动态条件相关:一类简单的多元广义条件回归异方差模型,《商业与经济统计杂志》 20(2002)339-350]和Cappiello等人的非对称动态条件相关模型。卡皮耶洛(R.F.) Engle,K。Sheppard,《全球股票和债券收益的相关性中的不对称动力学》,《金融计量经济学杂志》 25(2006)537-572]。模式!我们提出在参数矩阵中引入一种块结构,该结构允许与数量减少的参数相互依赖。我们的模型嵌套了Billio等人的柔性动态条件相关模型。 [M. Billio,M.Caporin,M.Gobbo,《用于资产分配的灵活动态条件相关多元GARCH》,《应用金融经济学快报》 2(2006)123-130],并被命名为“二次柔性动态条件相关多元GARCH”。在本文中,我们为条件相关的正定性提供了条件。我们还提供了一种在意大利股票市场上的经验应用,可以比较用于投资组合风险评估的其他相关模型。

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