| Autor: |
Massimiliano Caporin, Michael McAleer |
| Jazyk: |
angličtina |
| Rok vydání: |
2013 |
| Předmět: |
|
| Zdroj: |
Econometrics, Vol 1, Iss 1, Pp 115-126 (2013) |
| Druh dokumentu: |
article |
| ISSN: |
2225-1146 |
| DOI: |
10.3390/econometrics1010115 |
| Popis: |
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic properties; DCC is not a special case of Generalized Autoregressive Conditional Correlation (GARCC), which has testable regularity conditions and standard asymptotic properties; DCC is not dynamic empirically as the effect of news is typically extremely small; DCC cannot be distinguished empirically from diagonal Baba, Engle, Kraft and Kroner (BEKK) in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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