moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic …

these analyses. We first derive first and second moments conditional on only a set of regime probabilities. Next, we propose … generalized impulse response functions of first and second moments to shocks originating from the regime process, the structural …