Dynamic Conditional Correlation with Elliptical Distributions
Matteo Pelagatti () and
No 20060508, Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica
The Dynamic Conditional Correlation (DCC) 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 multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.
Keywords: Multivariate GARCH; Correlation; Elliptical distributions; Fat Tails (search for similar items in EconPapers)
JEL-codes: C32 C51 C87 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fmk
Date: 2004-06, Revised 2006-05
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http://www.statistica.unimib.it/utenti/WorkingPapers/WorkingPapers/20060508.pdf Revised version, May 2006 (application/pdf)
Working Paper: Dynamic Conditional Correlation with Elliptical Distributions (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:mis:wpaper:20060508
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