A generalized dynamic conditional correlation model for portfolio risk evaluation

DOI10.1016/j.matcom.2008.12.011zbMath1162.91364OpenAlexW2045289069MaRDI QIDQ1025339

Monica Billio, Massimiliano Caporin

Publication date: 18 June 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: http://www.unive.it/pag/fileadmin/user_upload/dipartimenti/economia/doc/Pubblicazioni_scientifiche/working_papers/2006/WP_DSE_Billio_Caporin_53_06.pdf

zbMATH Keywords

dynamic correlationsblock structuresflexible correlation models

Mathematics Subject Classification ID

Related Items (10)

Variance clustering improved dynamic conditional correlation MGARCH estimators ⋮ Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas ⋮ Clustering of financial time series in risky scenarios ⋮ DYNAMIC ASSET CORRELATIONS BASED ON VINES ⋮ Fast clustering of GARCH processes via Gaussian mixture models ⋮ Multivariate rotated ARCH models ⋮ Continuous Time Wishart Process for Stochastic Risk ⋮ Clustering of financial instruments using jump tail dependence coefficient ⋮ Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations ⋮ A tail-revisited Markowitz mean-variance approach and a portfolio network centrality

Uses Software

• RiskMetrics

Cites Work

• Asymptotic theory for multivariate GARCH processes.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• Multivariate Stochastic Volatility: A Review
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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