Ten Things You Should Know about the Dynamic Conditional Correlation Representation

Ten Things You Should Know about the Dynamic Conditional Correlation Representation

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 caution about the use of DCC include the following: D...

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Bibliographic Details
Main Authors: Massimiliano Caporin, Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2013-06-01
Series:Econometrics
Subjects:
DCC representation
BEKK
GARCC
stated representation
derived model
conditional correlations
two step estimators
assumed asymptotic properties
filter
Online Access:http://www.mdpi.com/2225-1146/1/1/115

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http://www.mdpi.com/2225-1146/1/1/115

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