Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Регресія квантиль-на-квантиль (QQ)× | Модель DCC-GARCH (динамічна умовна кореляція)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2015 | 2002 |
| Автор методу≠ | Sim and Zhou | Robert F. Engle |
| Тип≠ | Nonparametric quantile regression | Multivariate volatility model |
| Основоположне джерело≠ | Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking and Finance, 55, 1-8. DOI ↗ | Engle, R. F. (2002). Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, 20(3), 339-350. DOI ↗ |
| Інші назви | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression | DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC |
| Пов'язані≠ | 6 | 5 |
| Підсумок≠ | Quantile-on-quantile regression is a nonparametric technique that estimates how the quantiles of one variable depend on the quantiles of another. By combining standard quantile regression with local linear smoothing, it produces a full two-dimensional surface of slope coefficients indexed by both the quantile of the outcome and the quantile of the predictor, revealing heterogeneous and asymmetric dependency structures invisible to standard regression. | The DCC-GARCH model, introduced by Engle (2002), extends univariate GARCH to capture time-varying correlations between multiple financial time series. It decomposes the multivariate conditional covariance matrix into individual volatility processes and a dynamic correlation matrix, allowing correlations to fluctuate over time while remaining computationally tractable even with many series. |
| ScholarGateНабір даних ↗ |
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