Sammenlign metoder
Gjennomgå de valgte metodene side om side; rader som avviker, er uthevet.
| DCC-GARCH (dynamisk betinget korrelasjon)× | Paneldatamodell med faste effekter× | |
|---|---|---|
| Fagfelt≠ | Finans | Økonometri |
| Familie | Regression model | Regression model |
| Opprinnelsesår≠ | 2002 | 2014 |
| Opphavsperson≠ | Robert F. Engle | Hsiao (textbook treatment); within transformation of panel data |
| Type≠ | Multivariate volatility model | Panel data regression |
| Opprinnelig kilde≠ | 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 |
| Relaterte | 5 | 5 |
| Sammendrag≠ | 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). |
| ScholarGateDatasett ↗ |
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