Modelling Volatilities and Conditional Correlations inFutures Markets with a Multivariate t Distribution

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by Engle (2002), and suggests the use of devolatized returnscomputed as returns standardized by realized volatilities rather than by GARCH type volatilityestimates. The t-DCC estimation procedure is applied to a portfolio of daily returns oncurrency futures, government bonds and equity index futures...

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Year of publication:	2007-07-01
Authors:	Pesaran, Bahram ; Pesaran, M. Hashem
Institutions:	Forschungsinstitut zur Zukunft der Arbeit <Bonn>
Subject:	Volatilität \| Finanzlage \| Korrelation \| Default Correlations

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Extent:	408576 bytes 37 p. application/pdf
Series:	IZA - Forschungsinstitut zur Zukunft der Arbeit - Discussion Papers IZA Discussion Paper ; No. 2906 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G11 - Portfolio Choice ; Others ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005862589