We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large … system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation … parameters can lead to misleading conclusions. We then suggest a more tractable dynamic conditional correlation model (cDCC model …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

Dynamic Conditional Correlation (DCC) model by allowing for a clustering structure of the univariate GARCH parameters. The … model can be estimated in two steps, the first devoted to the clustering structure, and the second focusing on correlation …

Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …

covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …

indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …

indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …