Dynamic Conditional Correlation with Elliptical Distributions

The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.

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Year of publication:	2004-06
Authors:	Pelagatti, Matteo ; Rondena, Stefania
Institutions:	Dipartimento di Statistica, Università degli Studi di Milano-Bicocca
Subject:	Multivariate GARCH \| Correlation \| Elliptical distributions \| Fat Tails

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 20060508 12 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C87 - Econometric Software
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005800565