Pair of “Assets” residuals | Estimated Parameters | |||||
CCC | DCC(1,1) | |||||
Model 1 | Model 2 equation (10) | |||||
ρ | α | β | α + β | LL | ||
ase_res | stoxx_res | 0.4565 | 0.0041 | 0.9954 | 0.9996 | 12394 |
ase_res | vstoxx_res | −0.3124 | 0.0000 | 0.9998 | 0.9998 | 9180 |
ase_res | ppc_res | 0.6276 | 0.0066 | 0.9927 | 0.9993 | 10894 |
ase_res | gbonds_res | −0.2025 | 0.0388 | 0.9552 | 0.9940 | 10806 |
ase_res | ngasUK_res | 0.0316 | 0.0171 | 0.9179 | 0.9351 | 11031 |
ase_res | brent_res | 0.1822 | 0.0129 | 0.9797 | 0.9926 | 11667 |
ase_res | eua_res | 0.0924 | 0.0077 | 0.9815 | 0.9892 | 10726 |
ase_res | lignite_res | 0.0357 | 0.0068 | 0.9505 | 0.9572 | 11462 |
gbonds_res | vstoxx_res | 0.1189 | 0.0156 | 0.9813 | 0.9968 | 8543 |
eua_res | ngasUK_res | 0.1306 | 0.0085 | 0.9664 | 0.9748 | 10511 |
eua_res | brent_res | 0.2222 | 0.0135 | 0.9759 | 0.9893 | 11147 |
eua_res | ppc_res | 0.0355 | 0.0118 | 0.9326 | 0.9444 | 9774 |
eua_res | vstoxx_res | −0.1499 | 0.0159 | 0.9580 | 0.9739 | 8550 |
eua_res | smp_res | 0.0076 | 0.0387 | 0.3117 | 0.3504 | 6298 |
eua_res | loadep_res | 0.0340 | 0.0074 | 0.0003 | 0.0076 | 9217 |
smp_res | ngasUK_res | −0.0029 | 0.0070 | 0.9629 | 0.9699 | 6616 |
smp_res | loadep_res | 0.2783 | 0.0132 | 0.9344 | 0.9476 | 5434 |
loadep_res | ase_res | −0.0706 | 0.0297 | 0.2594 | 0.2892 | 9759 |
smp_res | ase_res | −0.0204 | 0.0070 | 0.9230 | 0.9301 | 6832 |
lignitep_res | smp_res | −0.0567 | 0.0194 | 0.9286 | 0.9480 | 7055 |
lignitep_res | eua_res | −0.0119 | 0.0025 | 0.9922 | 0.9947 | 10924 |
lignitep_res | ngasUK_res | −0.0109 | 0.0000 | 0.9874 | 0.9874 | 11242 |
lignitep_res | ppc_res | 0.0195 | 0.0000 | 0.0033 | 0.0033 | 10524 |
gbonds_res | brent_res | −0.0416 | 0.0086 | 0.9880 | 0.9966 | 11074 |
gbonds_res | ngasUK_res | 0.0433 | 0.0069 | 0.9728 | 0.9797 | 10481 |
gbonds_res | eua_res | 0.0258 | 0.0428 | 0.0016 | 0.0444 | 10161 |
stoxx_res | brent_res | 0.3607 | 0.0186 | 0.9728 | 0.9914 | 12691 |
stoxx_res | eua_res | 0.1723 | 0.0133 | 0.9783 | 0.9916 | 11624 |
stoxx_res | ngasUK_res | 0.0060 | 0.0194 | 0.9354 | 0.9547 | 11891 |
smp_res | brent_res | −0.0207 | 0.0033 | 0.3918 | 0.3951 | 7199 |
ppc_res | brent_res | 0.0791 | 0.0002 | 0.9861 | 0.9862 | 10685 |
ppc_res | ngasUK_res | 0.0216 | 0.0000 | 0.9017 | 0.9017 | 10089 |
loadep_res | lignitep_res | −0.0708 | 0.0109 | 0.9637 | 0.9746 | 9977 |
ppc_res | gbonds_res | −0.1325 | 0.0376 | 0.9553 | 0.9929 | 9798 |