Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Berens, Tobias | - |
dc.contributor.author | Weiß, Gregor N.F. | - |
dc.contributor.author | Wied, Dominik | - |
dc.date.accessioned | 2013-05-22T09:24:27Z | - |
dc.date.available | 2013-05-22T09:24:27Z | - |
dc.date.issued | 2013-05-22 | - |
dc.identifier.uri | http://hdl.handle.net/2003/30330 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-5396 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;21/2013 | en |
dc.subject | CCC-GARCH | en |
dc.subject | DCC-GARCH | en |
dc.subject | estimation window | en |
dc.subject | structural breaks | en |
dc.subject | VaR-forecast | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Testing for structural breaks in correlation | en |
dc.title.alternative | Does it improve Value-at-Risk forecasting? | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_2113_SFB823_Berens_Weiss_Wied.pdf | DNB | 497.11 kB | Adobe PDF | View/Open |
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