Abstract

  


 



Spurious Dynamic Conditional Correlation


Roland Füss


University of St. Gallen

Thorsten W. Glück


European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate

Jan Mutl


affiliation not provided to SSRN
November 1, 2012


Abstract:     
Conditional correlations estimated by multivariate GARCH models tend to exhibit unstable and erratic behavior leading to spurious conditional correlation dynamics. In this paper, we demonstrate that the autocovariances of conditional correlations generated by an autoregressive GARCH-type model are highly sensitive to small changes in model parameters.

Number of Pages in PDF File: 14

Keywords: Multivariate GARCH models; dynamic conditional correlation (DCC); constant conditional correlation; rolling window estimator; volatility of conditional correlation; spurious correlation.

JEL Classification: C52, C53

working papers series


Download This Paper

Date posted: November 24, 2011 ; Last revised: November 13, 2012

Suggested Citation

Füss, Roland, Glück, Thorsten W. and Mutl, Jan, Spurious Dynamic Conditional Correlation (November 1, 2012). Available at SSRN: http://ssrn.com/abstract=1963728 or http://dx.doi.org/10.2139/ssrn.1963728

Contact Information

Roland Füss
University of St. Gallen ( email )
Rosenbergstrasse 52
St. Gallen, Rosenbergstrasse 52 9000
Switzerland
+41 (0)71 224 70 74 (Phone)
+41 (0)71 224 70 88 (Fax)
HOME PAGE: http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx
Thorsten Willi Glück (Contact Author)
European Business School (EBS) Wiesbaden, Germany - Department of Finance, Accounting and Real Estate ( email )
Gustav-Stresemann-Ring 3
Wiesbaden, Wiesbaden 65189
Germany
+49 611 7102 1232 (Phone)
+49 611 7102 10 1232 (Fax)
HOME PAGE: http://www.ebs.edu
Jan Mutl
affiliation not provided to SSRN ( email )
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 739
Downloads: 146
Download Rank: 100,256

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo1 in 0.453 seconds