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~accessRights:"free"
~isPartOf:"NYU Salomon Center for the Study of Financial Institutions - Publications"
~language:"eng"
~person:"Engle, Robert"
~source:"als-doc"
~type:"article"
~type:"book"
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NYU Salomon Center for the Study of Financial Institutions - Publications
Arbeitspapier - NYU Salomon Center for the Study of Financial Institutions -Derivatives; S-DRP-02-01
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Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models
Engle, Robert
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2002
Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed.(...)
Persistent link: https://www.econbiz.de/10005847115
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