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Ten Things you should know about the Dynamic Conditional Correlation Representation

Caporin, Massimiliano; McAleer, Michael - 2013

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/10010326200

Ten Things you should know about DCC

Caporin, Massimiliano; McAleer, Michael - 2013

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/10010326244

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/10010421297

On the robustness of tests of outliers and functional form

McAleer, Michael; Tse, Yiu Kuen - 1991

Persistent link: https://www.econbiz.de/10000829589

Nested and non-nested procedures for testing linear and log-linear regression models

Bera, Anil K.; McAleer, Michael - 1988

Persistent link: https://www.econbiz.de/10000753411

A simple method for testing a general parametric model against a non-nested alternative

Horowitz, Joel; McAleer, Michael - 1988

Persistent link: https://www.econbiz.de/10000753888

A Monte Carlo study of some tests of model adequacy in time series analysis

Hall, Anthony D.; McAleer, Michael - 1987 - Rev.

Persistent link: https://www.econbiz.de/10000724797

On the robustness of tests of outliers and functional form

McAleer, Michael; Tse, Yiu Kuen - 1989

Persistent link: https://www.econbiz.de/10000777405

The effects of misspecification in estimating the percentiles of some two- and three- parameter distributions

Bai, Jun; Jakeman, Anthony J.; McAleer, Michael - 1989

Persistent link: https://www.econbiz.de/10000778207

Joint tests of non-nested models and general error specifications

Bera, Anil K.; McAleer, Michael; Pesaran, M. Hashem - 1989 - Rev

Persistent link: https://www.econbiz.de/10000778211

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