Fourier DCC-GARCH-modell
Fourier DCC-GARCH-modellen utvider Engles Dynamic Conditional Correlation GARCH-rammeverk ved å inkorporere Fourier trigonometriske ledd i ligningene for betinget gjennomsnitt eller varians. Dette gjør at modellen kan approksimere jevne, gradvise strukturelle skift i volatilitetsdynamikk og korrelasjoner mellom aktiva uten å kreve kunnskap om antall eller tidspunkt for brudd.
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Method map
The neighbourhood of related methods — select a node to explore.
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 ↗
Slik siterer du denne siden
ScholarGate. (2026, June 3). Fourier Dynamic Conditional Correlation GARCH Model. ScholarGate. https://scholargate.app/no/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-modellen (Dynamic Conditional Correlation)Økonometri↔ compare
- EGARCH-modell (Exponential GARCH)Økonometri↔ compare
- Fourier GARCH-modellØkonometri↔ compare
- GARCH-modell (volatilitetsprognoser)Økonometri↔ compare
- Vektorautoregresjon (VAR)Økonometri↔ compare
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