Chou, Ray Yeutien; Wu, Chun-chou; Liu, Nathan - In: Review of quantitative finance and accounting 33 (2009) 4, pp. 327-345
This paper proposes a range-based dynamic conditional correlation (DCC) model combined by the return-based DCC model and the conditional autoregressive range (CARR) model. The substantial gain in efficiency of volatility estimation can boost the accuracy for estimating time-varying covariances....
