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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