Multivariate Semi-nonparametric Distributions with Dynamic Conditional Correlations

  • Esther B. Del Brioy, Javier Perotex
  • Published 2008

Abstract

This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002) to incorporate a ‡exible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric (SNP)-DCC model formally admits a separate estimation of, in a …rst stage, the individual conditional variances under a Gaussian distribution and, in the… (More)

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