Economics at your fingertips  


Benjamin Poignard and Jean-David Fermanian

Econometric Theory, 2019, vol. 35, issue 1, 167-197

Abstract: We develop a new method for generating dynamics of conditional correlation matrices of asset returns. These correlation matrices are parameterized by a subset of their partial correlations, whose structure is described by a set of connected trees called “vine†. Partial correlation processes can be specified separately and arbitrarily, providing a new family of very flexible multivariate GARCH processes, called “vine-GARCH†processes. We estimate such models by quasi-maximum likelihood. We compare our models with DCC and GAS-type specifications through simulated experiments and we evaluate their empirical performances.

Date: 2019
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2020-02-21
Handle: RePEc:cup:etheor:v:35:y:2019:i:01:p:167-197_00