Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation

By Monica Billio, Massimiliano Caporin, M. Gobbo. 2006

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/62ad51d3d4933a3f6371c7ed9877fe3219de94e6

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Citations in the corpus

Robust Forecasting of Dynamic Conditional Correlation GARCH Models (2013, background): “…extension of the scalar–cDCC model (and its robust version discussed in the next section) to the more general cases where α and β are N×N matrices (Engle, 2002) or block-diagonal (Billio, Caporin, and Gobbo, 2006) is straightforward but not investigated here for the sake of simplicity. then…”
MGARCH models: Trade-off between feasibility and flexibility (2018, background): “For example, Billio et al. (2006) introduce a block-diagonal structure, where the dynamics are restricted to be equal only among certain groups of variables, and a BEKK structure on the conditional correlations is proposed.”
Dynamic Conditional Correlation: On Properties and Estimation (2013, unknown): “Relying on this, during the fitting of large systems, S is replaced by the sample second moment of the estimated standardized returns as a feasible estimator (Engle and Sheppard 2001; Billio, Caporin, and Gobbo 2006; Cappiello et al. 2006; Pesaran and Pesaran 2007; Franses and Hafner 2009).”
Multivariate Rotated ARCH Models (2014, unknown): “The RCC model contributes to a recent research push aiming to increase the exibility of the DCC model; see, for example, Cappiello et al. (2006), Billio et al. (2006), Billio and Caporin (2009) and Hafner and Franses (2009).”
Ten Things You Should Know About the Dynamic Conditional Correlation Representation (2013, methodology): “The above discussion also affects the many representations which are obtained as generalizations of the DCC representation including, among others, [2], [6] and [14].”
Is international diversification really beneficial (2010, background): “(4) The DCC model can be extended and generalized to include various underlying distributions; for example, see Pelagatti (2004) and Billio et al. (2006).”