an IGARCH process. By means of a new dynamic conditional correlation model (SP-DCC), we finally document the presence of … time-varying conditional correlations relating temperature anomalies across various zones and SOI. The correlation pattern …

This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …

The paper introduces a new simple semiparametric estimator of the conditional variance covariance and correlation … matrix (SP-DCC). While sharing a similar sequential approach to existing dynamic conditional correlation (DCC) methods, SP …-DCC has the advantage of not requiring the direct parameterization of the conditional covariance or correlation processes …