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~institution:"Tinbergen Instituut"
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Tinbergen Instituut
Department of Economics, York University
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Agricultural and Applied Economics Association - AAEA
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Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no
moments
; DCC does not have testable …
Persistent link: https://www.econbiz.de/10011255860
Saved in:
2
Ten Things you should know about DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Tinbergen Instituut
-
2013
moments
; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …
Persistent link: https://www.econbiz.de/10011256093
Saved in:
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