Authors: | Berens, Tobias Weiß, Gregor N.F. Wied, Dominik |
Title: | Testing for structural breaks in correlation |
Other Titles: | Does it improve Value-at-Risk forecasting? |
Language (ISO): | en |
Abstract: | In this paper, we compare the Constant Conditional Correlation (CCC) model to its dynamic counterpart, the Dynamic Conditional Correlation (DCC) model with respect to its accuracy for forecasting the Value-at-Risk of financial portfolios. Additionally, we modify these benchmark models by combining them with a pairwise test for constant correlations, a test for a constant correlation matrix, and a test for a constant covariance matrix. In an empirical horse race of these models based on five- and ten-dimensional portfolios, our study shows that the plain CCC- and DCC-GARCH models are outperformed in several settings by the approaches modified by tests for structural breaks in asset correlations and covariances. |
Subject Headings: | CCC-GARCH DCC-GARCH estimation window structural breaks VaR-forecast |
URI: | http://hdl.handle.net/2003/30330 http://dx.doi.org/10.17877/DE290R-5396 |
Issue Date: | 2013-05-22 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_2113_SFB823_Berens_Weiss_Wied.pdf | DNB | 497.11 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org