DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS

The management and monitoring of very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations in the class of multivariate GARCH models are BEKK and dynamic conditional correlation (DCC). It...

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Bibliographic Details
Published in:Journal of economic surveys 2012-09, Vol.26 (4), p.736-751
Main Authors: Caporin, Massimiliano, McAleer, Michael
Format: Article
Language:English
Subjects:
Analysis
Assets
Asymptotic theory
Computational methods
Conditional correlations
Conditional covariances
Correlation
Derivation
Diagonal models
Economic theory
Financial assets
GARCH models
Multivariate analysis
Normality
Portfolio management
Portfolios
Scalar models
Stochastic models
Structural models
Studies
Suitability
Targeting
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