Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/87070 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. 11-078/2/DSF22
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the skewed and fat-tailed shape of the distribution directly affects the dynamic behavior of the time-varying parameters. It distinguishes our approach from familiar alternatives such as the generalized autoregressive conditional heteroskedasticity model and the dynamic conditional correlation model where distributional assumptions affect the likelihood but not the parameter dynamics. We present a modified expectation-maximization algorithm to estimate the model. Simulated and empirical evidence shows that the model outperforms its close competitors if skewness and kurtosis are relevant features of the data.
Schlagwörter: 
Dynamic conditional correlations
Generalized Hyperbolic distributions
Observation driven models
JEL: 
C10
C16
C22
C32
Dokumentart: 
Working Paper
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