Aslanidis, Nektarios; Casas, Isabel - School of Economics, Faculty of Arts and Social Sciences - 2011
simulation study is performed to compare the semiparametric and nonparametric models with the DCC speci fication. Our bivariate … breaks in correlations. However, in DGPs with rapid changes or constancy in correlations the DCC delivers the best outcome …-variability in correlations, while when allowing for little variability in the correlations the DCC is the dominant speci fication …