Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:statistical_analysis
|
| gptkbp:application |
risk management
asset pricing portfolio optimization |
| gptkbp:basedOn |
gptkb:GARCH_model
|
| gptkbp:characteristic |
captures dynamic correlations
parsimonious parameterization two-step estimation procedure |
| gptkbp:extendsTo |
multivariate GARCH models
|
| gptkbp:fullName |
Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:implementedIn |
gptkb:Python
gptkb:Matlab R |
| gptkbp:proposedBy |
gptkb:Robert_Engle
2002 |
| gptkbp:relatedTo |
gptkb:BEKK-GARCH_model
gptkb:CCC-GARCH_model |
| gptkbp:usedFor |
modeling time-varying correlations
multivariate volatility modeling |
| gptkbp:usedIn |
financial econometrics
|
| gptkbp:bfsParent |
gptkb:Dynamic_Conditional_Correlation_–_A_Simple_Class_of_Multivariate_GARCH_Models
|
| gptkbp:bfsLayer |
6
|
| http://www.w3.org/2000/01/rdf-schema#label |
DCC-GARCH model
|