Author : Francesco Audrino
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Average Conditional Correlation and Tree Structures for Multivariate GARCH Models by : Francesco Audrino
Download or read book Average Conditional Correlation and Tree Structures for Multivariate GARCH Models written by Francesco Audrino and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simple class of multivariate GARCH models, allowing for time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations. Our model is very parsimonious. Estimation is computationally feasible in very large dimensions without resorting to any variance reduction technique. We back-test the models on a six-dimensional exchange-rate time series using different goodness-of-fit criteria and statistical tests. We collect empirical evidence of their strong predictive power, also in comparison to alternative benchmark procedures.