Author : Zhongfang He
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis A Class of Generalized Dynamic Correlation Models by : Zhongfang He
Download or read book A Class of Generalized Dynamic Correlation Models written by Zhongfang He and published by . This book was released on 2018 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a class of parametric correlation models that apply a two-layer autoregressive-moving-average structure to the dynamics of correlation matrices. The proposed model contains the Dynamic Conditional Correlation model of Engle (2002) and the Varying Correlation model of Tse and Tsui (2002) as special cases and offers greater flexibility in a parsimonious way. Performance of the proposed model is illustrated in a simulation exercise and an application to the U.S. stock indices.