One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …

We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation … by reparameterizing the model or by rescaling the score steps in the transition equation for the correlation parameter …

This paper analyzes a term structure model that allows for both stochastic correlation between underlying factors and …

We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic … bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic …

production in different countries is deemed as one of the factors of the price spike in 2007/08, the contribution of correlation … of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant …