Asset allocation with dynamic conditional correlations (DCC) model: an implementation in the R program

İlbasmış, Metin

Asset allocation with dynamic conditional correlations (DCC) model: an implementation in the R program

dc.contributor.author	İlbasmış, Metin
dc.date.accessioned	2025-09-11T08:38:27Z
dc.date.available	2025-09-11T08:38:27Z
dc.date.issued	2022
dc.department	İktisadi ve İdari Bilimler Fakültesi
dc.description.abstract	This study demonstrates how to use the R programming language to estimate time varying volatility in returns and correlations between several asset classes by employing a model called Dynamic Conditional Correlations (DCC) and to form portfolios using those estimates. A number of user-written R commands are presented in the study, designed for practitioners, academics, and students of nance interested in active portfolio optimization. The study uses these commands to access nancial data, analyze statistical characteristics of the data, estimate dynamic correlations, and nally compute the optimal weights of several asset classes in portfolios optimized for a variety of purposes.
dc.identifier.endpage	175
dc.identifier.issn	2147-6985
dc.identifier.issue	51
dc.identifier.startpage	149
dc.identifier.uri	https://hdl.handle.net/20.500.12451/14319
dc.identifier.volume	-
dc.indekslendigikaynak	TR-Dizin
dc.institutionauthor	İlbasmış, Metin
dc.institutionauthorid	0000-0001-9657-4604
dc.language.iso	en
dc.publisher	Pamukkale Üniversitesi
dc.relation.ispartof	Pamukkale Üniversitesi Sosyal Bilimler Enstitüsü Dergisi
dc.relation.publicationcategory	Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı
dc.rights	info:eu-repo/semantics/openAccess
dc.subject	R program
dc.subject	Estimation
dc.subject	DCC
dc.subject	Correlations
dc.subject	Portfolio Optimization
dc.subject	R programı
dc.subject	Tahmin
dc.subject	Korelasyonlar
dc.subject	Portföy Optimizasyonu
dc.title	Asset allocation with dynamic conditional correlations (DCC) model: an implementation in the R program
dc.type	Article