Abstract
The DCC GARCH models (Engle, J Bus Econ Stat 20:339–350, 2002) have been well studied to describe the conditional covariance and correlation matrices while the common risk among series cannot be captured intuitively by the existing multivariate GARCH models. A new class of multivariate time series model with an additive GARCH type structure is proposed. The dynamic conditional covariance between series are aggregated by a common risk term which has been the key to characterize the conditional correlation.
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© 2016 Springer Science+Business Media Singapore
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Chu, J., Kulperger, R., Yu, H. (2016). Modelling the Common Risk Among Equities: A Multivariate Time Series Model with an Additive GARCH Structure. In: Chen, DG., Chen, J., Lu, X., Yi, G., Yu, H. (eds) Advanced Statistical Methods in Data Science. ICSA Book Series in Statistics. Springer, Singapore. https://doi.org/10.1007/978-981-10-2594-5_12
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DOI: https://doi.org/10.1007/978-981-10-2594-5_12
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