Osborn, Denise R.; Savva, Christos S.; Gill, Len - In: Journal of Financial Econometrics 6 (2008) 3, pp. 307-325
This study extends the dynamic conditional correlation model of Engle (2002, Journal of Business and Economic Statistics 20, 339--350) to allow periodic (day-specific) conditional correlations of shocks across international stock markets. The properties of the resulting periodic dynamic...