Fourier DCC-GARCH Model
Fourier DCC-GARCH modellen udvider Engle's Dynamic Conditional Correlation GARCH-ramme ved at indlejre Fourier trigonometriske led i ligningerne for betinget middelværdi eller varians. Dette gør det muligt for modellen at approksimere glatte, gradvise strukturelle skift i volatilitetsdynamik og korrelationer mellem aktiver uden at kræve kendskab til antallet eller tidspunktet for brudpunkter.
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Method map
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Kilder
- Engle, R. (2002). Dynamic conditional correlations: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. link ↗
- Nazlioglu, S., Gormus, N. A., & Soytas, U. (2016). Oil prices and real estate investment trusts (REITs): Gradual-shift causality and volatility transmission analysis. Energy Economics, 60, 168-175. DOI: 10.1016/j.eneco.2016.09.009 ↗
Sådan citerer du denne side
ScholarGate. (2026, June 3). Fourier Dynamic Conditional Correlation GARCH Model. ScholarGate. https://scholargate.app/da/econometrics/fourier-dcc-garch
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- DCC-GARCH-model (Dynamisk Betinget Korrelation)Økonometri↔ compare
- EGARCH-model (Eksponentiel GARCH)Økonometri↔ compare
- Fourier GARCH-modelØkonometri↔ compare
- GARCH-model (volatilitetsprognoser)Økonometri↔ compare
- Vektorautoregression (VAR)Økonometri↔ compare
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