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dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The most suitable dynamic dependence model in …
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This paper suggests a new approach to evaluate realized covariance (RCOV) estimators via their predictive power on return density. By jointly modeling returns and RCOV measures under a Bayesian framework, the predictive density of returns and ex-post covariance measures are bridged. The forecast...
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forecasts is investigated. Coefficients of the ordinary (Pearson) and the default correlation are calculated for moving time … windows. Since the calculated default correlation depends on the VaR forecasts, analyses are performed for different quantiles …
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