DCC MIDAS X modelFollow 8 views (last 30 days) Nan Wang on 8 May 2021 Vote 0 Link with the reference of Professor Han Qian's dcc midas code, it can only analysis the correlation of two series but not include "x" which is low-frequency macro variable. The input arguments of Dcc...
We analyze the relation and contagion between the business cycle and financial volatility and then construct a DCC-MIDAS model to capture the dynamic relation between the business cycle and financial volatility. Then, we carry out an empirical analysis, finding comovement in the relation and ...
DCC模型与GARCH-MIDAS特性的R包说明书 Package‘dccmidas’October13,2022 Type Package Title DCC Models with GARCH-MIDAS Specifications in the Univariate Step Version0.1.0 Description Estimates a variety of Dynamic Conditional Correlation(DCC)models.More in de-tail,the'dccmidas'package allows the ...
DCC-MIDAS modelThis paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of correlation (Colacito et al., 2011) is used and extended to incorporate a third correlation frequency component. ...
分类: GARCH 好文要顶 关注我 收藏该文 微信分享 RankFan 粉丝- 6 关注- 2 +加关注 0 0 « 上一篇: state space model -- kalman filter » 下一篇: matlab 进阶: c混合编程 posted on 2022-06-14 21:00 RankFan 阅读(70) 评论(0) 编辑 收藏 举报 ...
一款快捷创建model的库,根据json中的字典,将其转换成对应的模型。最后以打印 2025-03-07 08:54:19 积分:1 这个是一个简洁而强大的模型框架。详细使用方法在Demo里有详细演示,使用的时候只要拉 2025-03-07 06:48:00 积分:1 螺旋桨RNA结构预测竞赛第六名方案,包含工程源码,处理脚本,最优成绩的模型 20...
We analyze the relation and contagion between the business cycle and financial volatility and then construct a DCC-MIDAS model to capture the dynamic relation between the business cycle and financial volatility. Then, we carry out an empirical analysis, finding comovement in the relation and ...
DCC-MIDAS modelCarbon-intensive assetLow-carbon assetPortfolio managementThis paper modifies the traditional DCC-MIDAS model by incorporating the climate policy risk to examine its effect on the correlations between high- and low-carbon assets. Our results show that the climate policy risk has a ...
Forecasting Structural Changes in Short and Long-Run Correlations: A Mixed Regime DCC-MIDAS ModelComponent modelsstructural breakscorrelation forecastingWe propose a novel approach to modelling structural changes in asset returns correlations. Our framework allows for breaks of different type in the ...
CorrelationsPortfolio ManagementRisk ManagementThis paper explores the determinants of U.S. stock-bond correlations estimated at various frequencies. For this purpose, the two-component DCC-MIDAS model of codoi:10.2139/ssrn.3190071Anne-Florence Allard...