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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models · Study

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PreprintDo We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin2009

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Preprintgreen2009

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Massimiliano Caporin · Michael J. McAleer

40 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model n.d.Multivariate GARCH models: a survey 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

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2010Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models 2012AGGREGATION, HETEROGENEOUS AUTOREGRESSION AND VOLATILITY OF DAILY INTERNATIONAL TOURIST ARRIVALS AND EXCHANGE RATES*2014Spillover effects and dynamic correlations between spot and forward tanker freight markets 2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH 2010Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns

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Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations40

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1338190

openalex_workW1484280822

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