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One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010374571
parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010384390
parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010477092
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10011715983