The uncertainty of conditional returns, volatilities and correlations in DCC models

Diego Eduardo Fresoli
Authors registered in the RePEc Author Service: Esther Ruiz ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: When forecasting conditional correlations that evolve according to a Dynamic Conditional Correlation (DCC) model, only point forecasts can be obtained at each moment of time. In this paper, we analyze the finite sample properties of a bootstrap procedure to approximate the density of these forecasts that also allows obtaining conditional densities for future returns and volatilities. The procedure is illustrated by obtaining conditional forecast intervals and regions of returns, volatilities andcorrelations in the context of a system of daily exchange rates returns of the Euro, Japanese Yen and Australian Dollar against the US Dollar

Keywords: Dynamic; Conditional; Correlation; Exchange; rates; Bootstrap; forecast; intervals; Realized; correlation; Resampling; methods; Forecast; regions (search for similar items in EconPapers)
Date: 2014-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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Citations: View citations in EconPapers (1)

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Journal Article: The uncertainty of conditional returns, volatilities and correlations in DCC models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws140202

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