Similar Search Results

Analytical Gradients of Dynamic Conditional Correlation models

Caporin, Massimiliano - 2011

In this note we provide the analytical gradient of the full model likelihood of the DCC specification of Engle (2002), the generalized version of Cappiello et al. (2006), and of the cDCC model of Aielli (2008)

Persistent link: https://www.econbiz.de/10013132023

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Aielli, Gian Piero - 2011

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

Persistent link: https://www.econbiz.de/10013125314

Market linkages, variance spillovers and correlation stability : empirical evidence of financial contagion

Billio, Monica; Caporin, Massimiliano - 2007

American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a … correlation matrix distance, which allows both a graphical analysis and the development of a statistical test of correlation …

Persistent link: https://www.econbiz.de/10003912121

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Caporin, Massimiliano - 2013

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

Persistent link: https://www.econbiz.de/10013074792