{"title":"Dynamic Conditional Correlation with Elliptical Distributions","authors":"M. Pelagatti","doi":"10.2139/ssrn.888732","DOIUrl":null,"url":null,"abstract":"The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.","PeriodicalId":415063,"journal":{"name":"University of Milan Bicocca Department of Economics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2004-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"15","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"University of Milan Bicocca Department of Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.888732","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 15
Abstract
The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical conditional distributions and apply different leptokurtic DCC models to twenty shares listed at the Milan Stock Exchange.
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