NDLI: A Class of Generalized Dynamic Correlation Models

Content Provider	Scilit
Author	He, Zhongfang
Copyright Year	2018
Description	Journal: SSRN Electronic Journal This paper proposes a class of parametric correlation models that apply a two-layer autoregressive-moving-average structure to the dynamics of correlation matrices. The proposed model contains the Dynamic Conditional Correlation model of Engle (2002) and the Varying Correlation model of Tse and Tsui (2002) as special cases and offers greater flexibility in a parsimonious way. Performance of the proposed model is illustrated in a simulation exercise and an application to the U.S. stock indices.
Related Links	https://mpra.ub.uni-muenchen.de/84820/1/MPRA_paper_84820.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3129418
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.3129418
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2018-02-10
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Mathematical Social Sciences Multivariate Garch Time Series
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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