On the estimation of dynamic conditional correlation models

DOI10.1016/j.csda.2010.09.022zbMath1255.62161OpenAlexW2014755147MaRDI QIDQ1927134

Olga Reznikova, Christian M. Hafner

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.09.022

zbMATH Keywords

financial time seriesshrinkagesample covariance matrixDCC

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

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Cites Work

• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Identifying financial time series with similar dynamic conditional correlation
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Multivariate GARCH Models

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