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Ten Things You Should Know About the Dynamic Conditional Correlation Representation
Caporin, Massimiliano
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
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/10010860070
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2
Ten Things You Should Know About DCC
Caporin, Massimiliano
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
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/10010633099
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