Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis

被引：10
|
作者：
Billio M. [1 ]
Caporin M. [2 ]
机构：
[1] Universitá Ca' Foscari di Venezia, 30121 Venezia, San Giobbe
[2] School for Advanced Studies in Venice Foundation, 30123 Venezia
来源：
Statistical Methods and Applications | 2005年 / 14卷 / 2期
关键词：
Contagion; Dynamic correlations; Markov switching models;
D O I：
10.1007/s10260-005-0108-8
中图分类号：
学科分类号：
摘要：
This paper provides an extension of the Dynamic Conditional Correlation model of Engle (2002) by allowing both the unconditional correlation and the parameters to be driven by an unobservable Markov chain. We provide the estimation algorithm and perform an empirical analysis of the contagion phenomenon in which our model is compared to the traditional CCC and DCC representations. © Springer-Verlag 2005.
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页码：145 / 161
页数：16
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