مقایسهٔ روشها
روشهای انتخابی خود را کنار هم مرور کنید؛ ردیفهای متفاوت برجسته شدهاند.
| دیسیسی-گارچ (همبستگی شرطی پویا)× | مدل خودرگرسیون برداری (VAR)× | |
|---|---|---|
| حوزه≠ | مالی | اقتصادسنجی |
| خانواده | Regression model | Regression model |
| سال پیدایش≠ | 2002 | 2005 |
| پدیدآور≠ | Robert F. Engle | Lütkepohl (textbook treatment); Sims (1980) macroeconometric tradition |
| نوع≠ | Multivariate volatility model | Multivariate time-series model |
| منبع بنیادین≠ | Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models. Journal of Business & Economic Statistics, 20(3), 339-350. DOI ↗ | Lütkepohl, H. (2005). New Introduction to Multiple Time Series Analysis. Springer. DOI ↗ |
| نامهای دیگر | dynamic conditional correlation, Engle DCC, multivariate GARCH, DCC-GARCH — Dinamik Koşullu Korelasyon | vector autoregression, VAR, VAR Modeli (Vektör Otoregresyon), vektör otoregresyon |
| مرتبط≠ | 5 | 4 |
| خلاصه≠ | 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. | Vector Autoregression is a multivariate time-series model that treats several interdependent series symmetrically, letting each variable depend on its own past values and the past values of all the others. It is the standard tool for capturing mutual causality and joint dynamics, developed in the modern multiple-time-series tradition treated by Lütkepohl (2005). |
| ScholarGateمجموعهداده ↗ |
|
|