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