DYNAMIC ASSET CORRELATIONS BASED ON VINES
DYNAMIC ASSET CORRELATIONS BASED ON VINES
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DOI：
10.1017/s026646661800004x
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发表时间：
2016-05
影响因子：
0.8
通讯作者：
B. Poignard;J. Fermanian
中科院分区：
文献类型：
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作者：
B. Poignard;J. Fermanian
我们开发了一种新的方法来产生动态的资产收益率的条件相关矩阵。这些相关矩阵的参数化的一个子集，其结构是由一组连接的树称为“葡萄树”。偏相关过程可以单独和任意地指定，提供了一个新的非常灵活的多元Gestival过程族，称为“vine-Gestival”过程。我们估计这样的模型的准最大似然。我们比较我们的模型与DCC和气体型规格，通过模拟实验，我们评估他们的经验表现。
We develop a new method for generating dynamics of conditional correlation matrices of asset returns. These correlation matrices are parameterized by a subset of their partial correlations, whose structure is described by a set of connected trees called “vine”. Partial correlation processes can be specified separately and arbitrarily, providing a new family of very flexible multivariate GARCH processes, called “vine-GARCH” processes. We estimate such models by quasi-maximum likelihood. We compare our models with DCC and GAS-type specifications through simulated experiments and we evaluate their empirical performances.