The Gaussian Mixture Dynamic Conditional Correlation Model
Parameter Estimation, Value at Risk Calculation, and Portfolio Selection
Bibliographic Data
| ID | 19418249 |
|---|---|
| Authors | Pedro Galeano (0000-0003-2577-2747, Universidad Carlos III de Madrid), M Concepción Ausín (0000-0003-0904-6542, Universidad Carlos III de Madrid) |
| Year | 2010 |
| Volume | 28 |
| Issue | 4 |
| Pages | 559-571 |
| Publication date | 2010-10-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/jbes.2009.07238 |
| OpenAlex | W2011090480 |
| Language | EN |
| Citations received | 1 |
| References cited | 25 |
A multivariate generalized autoregressive conditional heteroscedasticity model with dynamic conditional correlations is proposed, in which the individual conditional volatilities follow exponential generalized autoregressive conditional heteroscedasticity models and the standardized innovations follow a mixture of Gaussian distributions. Inference on the model parameters and prediction of future volatilities are addressed by both maximum likelihood and Bayesian estimation methods. Estimation of the Value at Risk of a given portfolio and selection of optimal portfolios under the proposed specification are addressed. The good performance of the proposed methodology is illustrated via Monte Carlo experiments and the analysis of the daily closing prices of the Dow Jones and NASDAQ indexes
Autoregressive conditional heteroskedasticity · Autoregressive model · Conditional variance · Econometrics · Economics · Heteroscedasticity · Model selection · Portfolio · Risk management · Statistics · Value at risk · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Statistical Distribution Estimation and Applications · Finance
Multivariate GARCH models
Conditional Heteroskedasticity in Asset Returns
Multivariate Simultaneous Generalized ARCH
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Generalized autoregressive conditional heteroskedasticity
Measures of multivariate skewness and kurtosis with applications
A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
Dynamic Conditional Correlation
Modelling the Coherence in Short-Run Nominal Exchange Rates
A Capital Asset Pricing Model with Time-Varying Covariances
| Citations per year | 0.13 |
|---|---|
| Citation span | 2018 - 2018 (1) |
| Highly cited | No |