Casarin, Roberto; Tronzano, Marco; Sartore, Domenico - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...
