Pontines, Victor; Siregar, Reza Yamora - In: Applied financial economics 19 (2009) 7/9, pp. 745-752
The key objective of this study is to show that two potential shortcomings of the Determinant of Change in Covariance (DCC) matrix procedure of Rigobon (2003), namely with the arbitrary determination of the windows, i.e. tranquil and crisis periods and the violation of its heteroscedasticity...
