Caporin, Massimiliano; McAleer, Michael - Institute of Economic Research, Kyoto University - 2013
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: DCC represents the dynamic conditional covariances of the … standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no …