Do We really ned Both BEKK and DCC英文清晰版

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1、doi:10.1111/j.1467-6419.2011.00683.xDOWEREALLYNEEDBOTHBEKKANDDCC?ATALEOFTWOMULTIVARIATEGARCHMODELSMassimilianoCaporinUniversitadegliStudidiPadova`MichaelMcAleerErasmusUniversityRotterdamTinbergenInstituteKyotoUniversityAbstract.Themanagementandmonitoringofverylargeportfoliosoffin

2、ancialassetsareroutineformanyindividualsandorganizations.ThetwomostwidelyusedmodelsofconditionalcovariancesandcorrelationsintheclassofmultivariateGARCHmodelsareBEKKanddynamicconditionalcorrelation(DCC).ItiswellknownthatBEKKsuffersfromthearchetypal‘curseofdimensionality’,whereasDC

3、Cdoesnot.Itisarguedinthispaperthatthisisamisleadinginterpretationofthesuitabilityofthetwomodelsforuseinpractice.TheprimarypurposeofthispaperistoanalysethesimilaritiesanddissimilaritiesbetweenBEKKandDCC,bothwithandwithouttargeting,onthebasisofthestructuralderivationofthemodels,the

4、availabilityofanalyticalformsforthesufficientconditionsforexistenceofmoments,sufficientconditionsforconsistencyandasymptoticnormalityoftheappropriateestimatorsandcomputationaltractabilityforultralargenumbersoffinancialassets.Basedontheoreticalconsiderations,thepapershedslightonho

5、wtodiscriminatebetweenBEKKandDCCinpracticalapplications.Keywords.Asymptotictheory;Conditionalcorrelations;Conditionalcovariances;Diagonalmodels;Scalarmodels;Targeting1.IntroductionThemanagementandmonitoringofverylargeportfoliosoffinancialassetsareroutineformanyindividualsandorgan

6、izations.Consequently,acarefulanalysis,specification,estimationandforecastingoffinancialassetreturnsdynamics,andtheconstructionandevaluationoffinancialportfolios,areessentialinthetoolkitofanyfinancialplannerandanalyst.Correlationsareusedtodetermineportfolios,withappropriateattent

7、ionbeinggiventohedgingandassetspecializationstrategies,whereasvariancesandcovariancesareusedtoforecastvalue-at-risk(VaR)thresholdstosatisfytherequirementsoftheBaselAccord.Therearedifferentmodelsfordifferentpurposes,suchascorrelationmodelstocreateandevaluateaportfolio,andcovarianc

8、emodelstoforecastVaRonadailybasisforagiv