A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
推广了Engle的动态条件相关模型，允许资产具有特定的相关性敏感性，适用于大量资产收益的汇总，并提出了两种估计方法。对39只英国股票数据的实证表明，该模型优于传统DCC和CCC模型。
In this article, we put forward a generalization of the Dynamic Conditional Correlation (DCC) Model of Engle (2002 Engle , R. F. ( 2002 ). Dynamic conditional correlation – A simple class of multivariate generalized autoregressive conditional heteroskedasticity models . Journal of Business and Economic Statistics 20 : 339 – 350 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). Our model allows for asset-specific correlation sensitivities, which is useful in particular if one aims to summarize a large number of asset returns. We propose two estimation methods, one based on a full likelihood maximization, the other on individual correlation estimates. The resultant generalized DCC (GDCC) model is considered for daily data on 39 U.K. stock returns in the FTSE. We find convincing evidence that the GDCC model improves on the DCC model and also on the CCC model of Bollerslev (1990 Bollerslev , T. ( 1990 ). Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach . Review of Economics and Statistics 72 : 498 – 505 .[Crossref], [Web of Science ®] , [Google Scholar]).