Brio, Esther B. Del; Ñíguez, Trino-Manuel; Perote, Javier - In: International Journal of Forecasting 27 (2011) 2, pp. 347-364
This paper generalizes the Dynamic Conditional Correlation (DCC) model of Engle (2002), incorporating a flexible non-Gaussian distribution based on Gram-Charlier expansions. The resulting semi-nonparametric-DCC (SNP-DCC) model allows estimation in two stages and deals with the negativity problem...
