Statements (21)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:statistical_analysis
gptkb:time_series_model |
| gptkbp:assumes |
correlations between series are constant over time
|
| gptkbp:citation |
Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics.
|
| gptkbp:component |
univariate GARCH processes for each series
|
| gptkbp:developedBy |
gptkb:Robert_F._Engle
|
| gptkbp:extendsTo |
gptkb:DCC-GARCH_model
|
| gptkbp:feature |
assumes constant conditional correlations
models time-varying variances |
| gptkbp:field |
finance
econometrics |
| gptkbp:fullName |
Constant Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:introducedIn |
1990
|
| gptkbp:limitation |
cannot capture time-varying correlations
|
| gptkbp:relatedTo |
gptkb:DCC-GARCH_model
gptkb:GARCH_model |
| gptkbp:usedFor |
modeling volatility
multivariate time series analysis |
| gptkbp:bfsParent |
gptkb:DCC-GARCH_model
|
| gptkbp:bfsLayer |
7
|
| http://www.w3.org/2000/01/rdf-schema#label |
CCC-GARCH model
|