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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

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Tests of multinormality based on location vectors and scatter matrices

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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution

Pesaran, Bahram (contributor); … - 2007

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC...

Persistent link: https://www.econbiz.de/10003586562

An approach to multivariate covariate-dependent quantile contours with application to bivariate conditional growth charts

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