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Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models
http://hdl.handle.net/2261/33405
http://hdl.handle.net/2261/3340523ad7086-6f8e-4eb4-9498-80e16272c6e5
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Conditional correlations | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | conditional covariances | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | diagonal models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | forecasting | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | generalized models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Hadamard models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | scalar models | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | targeting | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | JEL Classification: C32, G11, G17, G32. | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Caporin, Massimiliano
× Caporin, Massimiliano× McAleer, Michael |
|||||
著者所属 | ||||||
著者所属 | Dipartimento di Scienze Economiche “Marco Fanno” Università degli Studi di Padova | |||||
著者所属 | ||||||
著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
著者所属 | Tinbergen Institute The Netherlands | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and DCC. It is well known that BEKK suffers from the archetypal "curse of dimensionality", whereas DCC does not. It is argued in this paper that this is a misleading interpretation of the suitability of the two models for use in practice. The primary purpose of this paper is to analyze the similarities and dissimilarities between BEKK and DCC, both with and without targeting, on the basis of the structural derivation of the models, the availability of analytical forms for the sufficient conditions for existence of moments, sufficient conditions for consistency and asymptotic normality of the appropriate estimators, and computational tractability for ultra large numbers of financial assets. Based on theoretical considerations, the paper sheds light on how to discriminate between BEKK and DCC in practical applications. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Forthcoming in Journal of Economic Surveys. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-713, 発行日 2010-02 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf713ab.html |