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| DCC-GARCH (Correlación Dinámica Condicional)× | Modelo de Efectos Fijos para Datos de Panel× | |
|---|---|---|
| Campo≠ | Finanzas | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2002 | 2014 |
| Autor original≠ | Robert F. Engle | Hsiao (textbook treatment); within transformation of panel data |
| Tipo≠ | Multivariate volatility model | Panel data regression |
| Fuente seminal≠ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | Hsiao, C. (2014). Analysis of Panel Data (3rd ed.). Cambridge University Press. DOI ↗ |
| Alias | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | fixed effects model, within estimator, panel fixed-effects regression, Panel Veri — Sabit Etkiler Modeli |
| Relacionados | 5 | 5 |
| Resumen≠ | DCC-GARCH is Engle's (2002) multivariate volatility model that lets the correlations between several assets change over time. A separate univariate GARCH model is fitted to each series, and then the dynamic correlation matrix is estimated in a second, separate step. | The Panel Data Fixed Effects model estimates relationships from panel data (the same units observed over several time periods) while controlling for unit- and/or time-specific effects, supporting causal inference. It is developed as the within estimator in standard treatments such as Hsiao's Analysis of Panel Data (2014). |
| ScholarGateConjunto de datos ↗ |
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