AN INVESTIGATION ON THE DYNAMIC CONDITIONAL CORRELATION MODELS FOR AN EMPIRICAL ESTIMATIONS OF THE TEMPORAL AGGREGATION AND ITS APPLICATION ON THE CREDITING POLICY
博士 === 國立中山大學 === 財務管理學系研究所 === 97 === The Dynamic Conditional Correlation (DCC) model proposed by Engle (2002) has become one of the most popular models for the analysis of multivariate financial time series. Yet, the impact of temporal aggregation on the DCC estimates has not yet been rigorously i...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/ppbz73 |