Vertaile menetelmiä
Tarkastele valitsemiasi menetelmiä rinnakkain; eroavat rivit korostetaan.
| DCC-GARCH (Dynamic Conditional Correlation)× | Paneeliaineiston kiinteiden vaikutusten malli× | |
|---|---|---|
| Tieteenala≠ | Rahoitus | Ekonometria |
| Menetelmäperhe | Regression model | Regression model |
| Syntyvuosi≠ | 2002 | 2014 |
| Kehittäjä≠ | Robert F. Engle | Hsiao (textbook treatment); within transformation of panel data |
| Tyyppi≠ | Multivariate volatility model | Panel data regression |
| Alkuperäislähde≠ | 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 ↗ |
| Rinnakkaisnimet | 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 |
| Liittyvät | 5 | 5 |
| Tiivistelmä≠ | 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). |
| ScholarGateAineisto ↗ |
|
|