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Student-t distribution based VAR-MGARCH: an application of the DCC model on international portfolio risk management.
- Source :
- Applied Economics; Jul2008, Vol. 40 Issue 13, p1685-1697, 13p, 8 Charts, 2 Graphs
- Publication Year :
- 2008
-
Abstract
- Significant second-moment transmission effects and obvious time-varying patterns of correlation coefficients among major equity and currency markets in the US, Japan and the UK are found to exist. Such observations inspire the time-varying setting of dynamic conditional correlation coefficients in MGARCH models. On the other hand, the multivariate Student-t distribution is suitable for analysing the visible leptokurtosis that is common in financial markets. Both are important for international portfolio risk management. Thus, a comparison on the hedging efficiency of hypothetical portfolios consisting of stock and currency future positions is conducted in order to justify the multivariate Student-t distribution based on the DCC-MGARCH model. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00036846
- Volume :
- 40
- Issue :
- 13
- Database :
- Complementary Index
- Journal :
- Applied Economics
- Publication Type :
- Academic Journal
- Accession number :
- 32990520
- Full Text :
- https://doi.org/10.1080/00036840600892894