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Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
http://hdl.handle.net/2261/26679
http://hdl.handle.net/2261/2667962735185-5929-47b0-a3b5-2375148505e3
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Conditional correlations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional covariances | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | diagonal models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | forecasting | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | generalized models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Hadamard models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | scalar models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | targeting | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Codes: G11, G33, C32 | |||||
| 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 |
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| 著者所属 | ||||||
| 著者所属 | Dipartimento di Scienze Economiche “Marco Fanno”Universita 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 | |||||
| 著者所属 | ||||||
| 著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dimensionality" whereas DCC does not. This is a misleading interpretation of the suitability of the two models to be used in practice. The primary purposes of the paper are to define targeting as an aid in estimating matrices associated with large numbers of financial assets, analyze the similarities and dissimilarities between BEKK and DCC, both with and without targeting, on the basis of structural derivation, the analytical forms of the sufficient conditions for the existence of moments, and the sufficient conditions for consistency and asymptotic normality, and computational tractability for very large (that is, ultra high) numbers of financial assets, to present a consistent two step estimation method for the DCC model, and to determine whether BEKK or DCC should be preferred in practical applications. | |||||
| 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-638, 発行日 2009-08 |
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| 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Scheme | NDC | |||||
| 主題 | 335 | |||||
| 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/2009/2009cf638ab.html | |||||
