Pelagatti, Matteo; Rondena, Stefania - Dipartimento di Statistica, Università degli Studi di … - 2004
The Dynamic Conditional Correlation (DCC) model of Engle has made the estimation of multivariate GARCH models feasible for reasonably big vectors of securities’ returns. In the present paper we show how Engle’s multi-step estimation of the model can be easily extended to elliptical...