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Ten Things You Should Know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - In: Econometrics 1 (2013) 1, pp. 115-126
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10011031447
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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008664052
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Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669311
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Block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008688575
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Ranking multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008689067
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008689069
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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008695598
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Ranking multivariate GARCH models by problem dimension: an empirical evaluation
Caporin, Massimiliano; McAleer, Michael - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009619365
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Robust ranking of multivariate GARCH models by problem dimension
Caporin, Massimiliano; McAleer, Michael - 2012 - Rev.
Persistent link: https://www.econbiz.de/10009619553
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Do we really need both BEKK and DCC? : a tale of two multivariate GARCH models
Caporin, Massimiliano; McAleer, Michael - In: Journal of economic surveys 26 (2012) 4, pp. 736-751
Persistent link: https://www.econbiz.de/10009712816