Loading Events

« All Events

  • This event has passed.

Luc BAUWENS (CORE, Belgium) “NONLINEARITIES AND REGIMES IN CONDITIONAL CORRELATIONS WITH DIFFERENT DYNAMICS”

January 17, 11:00 am - 12:00 pm

FINANCIAL ECONOMETRICS SEMINAR

Time: 11:00 am – 12.00 pm
Date: 17th of January 201
Place: Room 3001

Luc BAUWENS (CORE, Belgium) “NONLINEARITIES AND REGIMES IN CONDITIONAL CORRELATIONS WITH DIFFERENT DYNAMICS”

Abstract:New parameterizations of the dynamic conditional correlation (DCC) model and of the regime-switching dynamic correlation (RSDC) model are introduced, such that these models provide a specific dynamics for each correlation. They imply a nonlinear autoregressive form of dependence on lagged correlations and are based on properties of the Hadamard exponential matrix. The new models are applied to a data set of twenty stock market indices, comparing them to the classical DCC  and  RSDC models. The empirical results show that the new models improve their classical versions in terms of several criteria.

 

Organizers:
Jean-Michel ZAKOIAN (CREST )

Sponsors:
CREST and ILB

Location:
Address
 : ENSAE ParisTech
5, avenue Henry Le Chatelier
91120 Palaiseau
How to come?

 

Details

Date:
January 17
Time:
11:00 am - 12:00 pm
Event Categories:
,

Venue