High Dimension Dynamic Correlations

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Engle, Robert F ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Correlations; Dynamic conditional correlation model; FACTOR ARCH; FACTOR DCC; FACTOR DOUBLE ARCH; MacGyver method

Indexed keywords

EID: 84919628629     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0005     Document Type: Chapter

References (40)

1. Alexander, C. (2002). Principal compenent models for generating large GARCH covari-ance matrices. Economic Notes, 23, 337-359.
2. Audrino, F. and Giovanni, B.-A. (2006). Average conditional correlation and tree structures for multivariate GARCH models. Journal of Forecasting, 25(8), 579-600.
3. Bautista, C. C. (2003). Interest rate-exchange rate dynamics in the Philippines: a DCC analysis. Applied Economics Letters, 10(2), 107-111.
4. Bauwens L. Laurent S. (2005). A new class of multivariate skew densities (with application to generalized autoregressive conditional heteroscedasticity models). Journal of Business & Economic Statistics, 23(3), 346-354.
5. Bauwens L. Laurent S. and Rombouts, J. (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics, 21(1), 79-109.
6. Billio, M., Caporin, M., and Gobbo, M. (2006). Flexible dynamic conditional correlation multivariate GARCH models for asset allocation. Applied Financial Economics Letters, 2(2), 123-130.
7. Bollerslev, T. (1990). Modelling the coherence in short-run nominal exchange rates: A multivariate generalized ARCH model. Review of Economics and Statistics, 72(3), 498-505.
8. Bollerslev, T., Engle, R., and Nelson, D. (1994). ARCH models. In Engle, R. and McFadden, D. (eds.), Handbook of Econometrics, Volume IV, pp. 2959-3038. Amsterdam: North-Holland.
9. Bollerslev, T. and Wooldridge, J. F. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews, 11(2), 143-172.
10. Campbell, J., Lettau, M., Malkiel, B., and Xu, Y. (2001). Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance, LVI(1), 1-43.
11. Cappiello, L., Engle, R., and Sheppard, K. (2007). Asymmetric dynamics in the correlations of global equity and bond returns. Journal of Financial Econometrics, 4(4), 537-572.
12. Chan, F., Lim, C., and McAleer, M. (2005). Modeling multivariate international tourism demand and volatility. Tourism Management, 26(3), 459-471.
13. Chib, S., Nardari, F., and Shephard, N. (2006). Analysis of high dimensional multivariate stochastic volatility models. Journal of Econometrics, 134(2), 341-371.
14. Engle, R. (2002). Dynamic conditional correlation-A simple class of mltivariate GARCH models. Journal of Business and Economic Statistics, 20(3), 339-350.
15. Engle, R. (2009). Anticipating Correlations. Princeton: Princeton University Press.
16. Engle, R. and Colacito, R. (2006). Testing and valuing dynamic correlations for asset allocation. Journal of Business and Economic Statistics, 24(2), 238-253.
17. Engle, R. Hendry, D. F., and Richard, J.-F. (1983). Exogeneity, Econometrica, 51, 277-304.
18. Engle, R. and Kroner, K. (1995). Multivariate simultaneous GARCH. Econometric Theory, 11, 122-150.
19. Engle, R. and Mezrich, J. (1996). GARCH for groups. Risk, 9(8), 36-40.
20. Engle, R., Ng, V., and Rothschild, M. (1990). Asset pricing with a factor ARCH covariance structure: Empirical estimates for treasury bills. Journal of Econometrics, 45(1/2), 213-237.
21. Engle, R., Ng, V., and Rothschild, M. (1992). A multi-dynamic factor model for stock returns. Journal of Econometrics, 52(1-2), 245-266.
22. Engle, R., Ng, V., and Rothschild, M. (1993). Time varying volatility and the dynamic behavior of the term structure. Journal of Money, Credit and Banking, 25, 336-349.
23. Engle, R., and Sheppard, K. (2005a). Theoretical properties of dynamic conditional correlation multivariate GARCH. Manuscript.
24. Engle, R., and Sheppard, K. (2005b). Evaluating the specification of covariance models for large portfolios. Manuscript.
25. Engle, R. ,and Susmel, R. (1993). Common volatility in international equity markets. Journal of Business and Economic Statistics, 11(2), 167-176.
26. Hafner, C. M. and Franses, P. H. (2003). A generalized dynamic conditional correlation model for many assets. Econometric Institute Report No. 18, Erasmus University Rotterdam.
27. Hafner, C. M., van Dijk, D., and Franses, P. H. (2006). Semi-parametric modelling of correlation dynamics. In Terrell, D. and Fomby, T. B. (eds.), Econometric Analysis of Financial and Economic Time Series, Part A. Advances in Econometrices, volume 20, pp. 59-103. Elsevier.
28. He, C. L. and Teräsvirta, T. (2004). An extended constant conditional correlation GARCH model and its fourth-moment structure. Econometric Theory, 20(5), 904-926.
29. Kim, S. J., Moshirian, F., and Wu, E. (2006). Evolution of international stock and bond market integration: Influence of the European Monetary Union. Journal of Banking & Finance, 30(5), 1507-1534.
30. Ledoit, O., Santa-Clara, P., and Wolf, M. (2003). Flexible multivariate GARCH modeling with an application to international stock markets. Review of Economics and Statistics, 85(3), 735-747.
31. Lee, J. (2006). The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model. Economics Letters, 91(1), 110-116.
32. Nelson, D. and Foster, D. (1994). Asymptotic Filtering theory for univariate ARCH models. Econometrica, 62(2), 1-41.
33. Pelletier, D. (2006). Regime switching for dynamic correlations. Journal of Econometrics, 127(1-2), 445-473.
34. Palandri, A. (2005). Sequential conditional correlations: Inference and evaluation. Working Paper, SSRN.
35. Ross, S. (1976). The Arbitrage theory of capital asset pricing. Journal of Economic Theory, 13, 341-360.
36. Sharpe, W. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19, 425-442.
37. Silvennoinen, A. and Teräsvirta, T. (2008). Multivariate GARCH models. In Andersen, T. W., Davis, R. A., Kreiss, J. P., and Mikosch, T. Handbook of Financial Time Series. Springer Verlag.
38. Taleb, N. (2007). The Black Swan: The Impact of the Highly Improbable. Random House Publishing Group.
39. Tse, Y. K. and Tsui, A. K. C. (2002). A multivariate generalized autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics, American Statistical Association, 20(3), 351-362.
40. Vrontos, I. D., Dellaportas, P., and Politis, D. N. (2003). A full-factor multivariate GARCH model. Econometrics Journal, 6, 311-333.