constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several … transmission effects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …