Lee, Ming-Chih; Chiou, Jer-Shiou; Lin, Cho-Min - In: Applied Financial Economics Letters 2 (2006) 3, pp. 183-188
This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional...