A Teaching Summary on the Estimation of DCC-type Models

DOI

10.2991/assehr.k.210915.021How to use a DOI?

Keywords

Teaching summary, DCC-type models, Three-stage estimation, Consistence of estimators

Abstract

The three-stage estimation technique that was designed to estimate the dynamic conditional correlation (DCC) model and its variants is computationally convenient but it may be less efficient than the quasi-maximum likelihood method for simultaneous estimation of all parameters, due to the inconsistent moment estimators used in the second stage. In this article, we have made an in-depth survey on the advantages and disadvantages of this technique, to facilitate readers to carry out relevant empirical research. We suggest that the consistent DCC (cDCC) model and its variants should be widely applied to typical financial series since this three-stage estimation is more feasible for them.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Qunxing Pan
PY  - 2021
DA  - 2021/09/16
TI  - A Teaching Summary on the Estimation of DCC-type Models
BT  - Proceedings of the 2021 International Conference on Modern Management and Education Research (MMER 2021)
PB  - Atlantis Press
SP  - 88
EP  - 93
SN  - 2352-5398
UR  - https://doi.org/10.2991/assehr.k.210915.021
DO  - 10.2991/assehr.k.210915.021
ID  - Pan2021
ER  -