Caporin, M.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010
In the last 15 years, several Multivariate GARCH (MGARCH) models have appeared in the literature. The two most widely … (2002). Some recent research has begun to examine MGARCH specifications in terms of their out-of-sample forecasting … performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC …
