Dynamic Conditional Correlation with Elliptical Distributions

Matteo Pelagatti and Stefania Rondena
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Stefania Rondena: University of Milan-Bicocca

Econometrics from University Library of Munich, Germany

Abstract: The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s twosteps estimate of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to some stocks listed at the Milan Stock Exchange. A free software written by the authors to carry out all the required computations is presented as well.

Keywords: Multivariate GARCH; Dynamic conditional correlation; Generalized method of moments (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2005-03-11
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 11. Presented at the 2nd OxMetrics User Conference, London, August 2004.
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0503007

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