{"created":"2021-03-01T07:02:47.896428+00:00","id":42854,"links":{},"metadata":{"_buckets":{"deposit":"84b59135-a37a-4c01-b615-820e1957f7f2"},"_deposit":{"id":"42854","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42854"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042854","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2010-02","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-713","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"Forthcoming in Journal of Economic Surveys.","subitem_description_type":"Other"},{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf713ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Dipartimento di Scienze Economiche “Marco Fanno” Università degli Studi di Padova"},{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"Caporin, Massimiliano"}],"nameIdentifiers":[{"nameIdentifier":"98518","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"98519","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Conditional correlations","subitem_subject_scheme":"Other"},{"subitem_subject":"conditional covariances","subitem_subject_scheme":"Other"},{"subitem_subject":"diagonal models","subitem_subject_scheme":"Other"},{"subitem_subject":"forecasting","subitem_subject_scheme":"Other"},{"subitem_subject":"generalized models","subitem_subject_scheme":"Other"},{"subitem_subject":"Hadamard models","subitem_subject_scheme":"Other"},{"subitem_subject":"scalar models","subitem_subject_scheme":"Other"},{"subitem_subject":"targeting","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classification: C32, G11, G17, G32.","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2017-01-17"},"publish_date":"2017-01-17","publish_status":"0","recid":"42854","relation_version_is_last":true,"title":["Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:59.920745+00:00"}