Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Person: pas73 
Author-Workplace-Name: Faculty of Economics, Soka University, Japan.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Title: Dynamic Conditional Correlations for Asymmetric Processes
Abstract: The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) 
	model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose 
	asymmetric DCC models. We use the standardized multivariate t-distribution to accommodate heavy-tailed errors. 
	The paper presents an empirical example using the trivariate data of the Nikkei 225, Hang Seng and Straits Times 
	Indices for estimating and forecasting the wDCC-EGARCH and wDCC-GJR models, and compares the performance with the 
	asymmetric BEKK model. The empirical results show that AIC and BIC favour the wDCC-EGARCH model to the wDCC-GJR, 
	asymmetric BEKK and alternative conventional DCC models. Moreover, the empirical results indicate that the 
	wDCC-EGARCH-t model produces reasonable VaR threshold forecasts, which are very close to the nominal 1% to 3% 
	values.
Keywords: Dynamic conditional correlations, Wishart process, EGARCH, GJR, asymmetric BEKK, heavy-tailed errors.
Note: The authors wish to thank the editor and two referees for insightful comments and suggestions and Yoshi 
	Baba for helpful discussions. For financial support, the first author acknowledges the Japan Society for the 
	Promotion of Science and the Australian Academy of Science, and the second author wishes to acknowledge the 
	Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science.
Length: 26 pages 
Creation-Date: 2011 
Number: 2011-30
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1130.txt
File-URL: https://eprints.ucm.es/id/eprint/13216/1/1130.pdf
File-Format: Application/pdf
File-Function: revised augost 2011
Handle: RePEc:ucm:doicae:1130