So sánh phương pháp
Xem các phương pháp đã chọn cạnh nhau; những hàng khác biệt được làm nổi bật.
| Hồi quy Quantile-on-Quantile (QQ)× | Mô hình DCC-GARCH (Tương quan có điều kiện động)× | |
|---|---|---|
| Lĩnh vực | Kinh tế lượng | Kinh tế lượng |
| Họ | Regression model | Regression model |
| Năm ra đời≠ | 2015 | 2002 |
| Người khởi xướng≠ | Sim and Zhou | Robert F. Engle |
| Loại≠ | Nonparametric quantile regression | Multivariate volatility model |
| Công trình gốc≠ | 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 ↗ |
| Tên gọi khác | QQ regression, QQ approach, quantile-on-quantile approach, nonparametric quantile regression | DCC-GARCH, Dynamic Conditional Correlation GARCH, Engle DCC model, multivariate DCC |
| Liên quan≠ | 6 | 5 |
| Tóm tắt≠ | 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. |
| ScholarGateBộ dữ liệu ↗ |
|
|