The Dcc-Varma Model : A Simple Estimation Procedure of the Conditional Correlation Dynamics Parameters for Large Variance-Covariance Matrices

We show that the parameters of the DCC-GARCH model, proposed by Engle (2001) and by Engle and Sheppard (2001), can be derived from the estimated parameters of a VARMA model of the average conditional correlation process. This makes their estimation much easier

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Year of publication:	[2003]
Authors:	Potì, Valerio
Publisher:	[2003]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2003 erstellt
Other identifiers:	10.2139/ssrn.448220 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C12 - Hypothesis Testing ; C13 - Estimation ; C22 - Time-Series Models ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012739384