A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection

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dc.contributor.author Virbickaite, Audrone
dc.contributor.author Ausín Olivera, María Concepción
dc.contributor.author Galeano San Miguel, Pedro
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2013-05-13T14:28:51Z
dc.date.available 2013-05-13T14:28:51Z
dc.date.issued 2013-05
dc.identifier.uri http://hdl.handle.net/10016/16967
dc.description.abstract We use an asymmetric dynamic conditional correlation (ADCC) GJR-GARCH model to estimate the time-varying volatilities of financial returns. The ADCC-GJR-GARCH model takes into consideration the asymmetries in individual assets volatilities, as well as in the correlations. The errors are modeled using a flexible location-scale mixture of infinite Gaussian distributions and the inference and estimation is carried out by relying on Bayesian non-parametrics. Finally, we carry out a simulation study to illustrate the flexibility of the new method and present a financial application using Apple and NASDAQ Industrial index data to solve a portfolio allocation problem
dc.description.sponsorship The first and second authors are grateful for the financial support from MEC grant ECO2011-25706. The third author acknowledges financial support from MEC grant ECO2012-38442
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 13-09
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Asymmetric dynamic condition correlation
dc.subject.other Bayesian non-parametrics
dc.subject.other Dirichlet process mixtures
dc.subject.other Portfolio allocation
dc.title A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2011-25706
dc.relation.projectID Gobierno de España. ECO2012-38442
dc.type.version submitedVersion
dc.identifier.repec ws131009
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