Journal article
Dynamic conditional angular correlation
Journal of econometrics, Vol.216(1), pp.137-150
05/01/2020
DOI: 10.1016/j.jeconom.2020.01.010
Abstract
We introduce the concept of angular correlation for estimating the instantaneous correlation matrix with a single multivariate realization. The proposed estimator is generally a positive definite correlation matrix and robust in that for bivariate normal data, the sample angular correlation is equally likely to be above or below the population correlation coefficient. We then generalize the dynamic conditional correlation (DCC) model to the dynamic conditional angular correlation (DCAC) model. We demonstrate the efficacy and robustness of the proposed methods against leptokurticity, with some numerical experiments. In particular, a real application illustrates the better performance of the DCAC model than the DCC model in portfolio construction. (C) 2020 Elsevier B.V. All rights reserved.
Details
- Title: Subtitle
- Dynamic conditional angular correlation
- Creators
- Riad Jarjour - University of IowaKung-Sik Chan - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of econometrics, Vol.216(1), pp.137-150
- Publisher
- ELSEVIER SCIENCE SA
- DOI
- 10.1016/j.jeconom.2020.01.010
- ISSN
- 0304-4076
- eISSN
- 1872-6895
- Number of pages
- 14
- Language
- English
- Date published
- 05/01/2020
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257738702771
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