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
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mis:wpaper:20060508
Access Statistics for this paper
More papers in Working Papers from Università degli Studi di Milano-Bicocca, Dipartimento di Statistica Contact information at EDIRC.
Series data maintained by Matteo Pelagatti ().