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Dynamic Conditional Correlation : On Properties and Estimation

Aielli, Gian Piero - 2011

We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large … system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation … parameters can lead to misleading conclusions. We then suggest a more tractable dynamic conditional correlation model (cDCC model …

Persistent link: https://www.econbiz.de/10013134164

Markowitz portfolios under transaction costs

Ledoit, Olivier; Wolf, Michael - 2022

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Persistent link: https://www.econbiz.de/10013440073

When simplicity offers a benefit, not a cost : closed-form estimation of the GARCH(1,1) model that enhances the efficiency of quasi-maximum likelihood

Prono, Todd - 2019 - This version: February 2019

. Identification sources to asymmetry in the model's innovations, casting skewness as an instrument in a linear, two-stage least …

Persistent link: https://www.econbiz.de/10012181040

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130