DYNAMIC CONDITIONAL CORRELATION MODELS WITH EXOGENOUS VARIABLES
Wei Qiansh · Xitong kexue yu shuxue · 2015
This paper incorporates exogenous variables into the correlation equation of dynamic conditional correlation(DCC) models.The exogenous variables drive the parameters in the equation to change correspondingly,which reflects the influence of exogenous variables on the conditional correlation of the series.The parameters added in the proposed model need no constraint to make sure of the positivity of conditional correlation matrices.Meanwhile,an effective two-step maximum likelihood method is given to estimate the parameters.Finally,we use the proposed model to study the Asian stock market by treating American stock market as an exogenous variable,and analyze the experiment results.