|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26700
|
| Title: | DYNAMIC CONDITIONAL CORRELATION A SIMPLE CLASS OF MULTIVARIATE GARCH MODELS |
| Authors: | Engle, Robert |
| Issue Date: | May-2000 |
| Series/Report no.: | FIN-00-034 |
| Abstract: | Time varying correlations are often estimated with Multivariate Garch
models that are linear in squares and cross products of returns. A new
class of multivariate models called dynamic conditional correlation
(DCC) models is proposed. These have the flexibility of univariate GARCH
models coupled1 with parsimonious parametric models for the
correlations. They are not linear but can often be estimated very simply
with univariate or two step methods based on the likelihood function. It
is shown that they perform well in a variety of situations and give
sensible empirical results. |
| URI: | http://hdl.handle.net/2451/26700 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
