Ten Things You Should Know About the Dynamic Conditional Correlation Representation

Autor: Michael McAleer, Massimiliano Caporin

Publikováno v: Econometrics, Vol 1, Iss 1, Pp 115-126 (2013)
Econometrics; Volume 1; Issue 1; Pages: 115-126

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for cau

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23add508f478476c455406b1d913ad04
http://www.kier.kyoto-u.ac.jp/DP/DP870.pdf

Ten Things You Should Know About the Dynamic Conditional Correlation Representation

Autor: Caporin, Massimiliano, McAleer, Michael

Publikováno v: E-Prints Complutense. Archivo Institucional de la UCM
instname
E-Prints Complutense: Archivo Institucional de la UCM
Universidad Complutense de Madrid

The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for cau

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::357e20c9a505fb0c9aac8d303e752f41
http://eprints.ucm.es/22109/