shown that the covariance and correlation is not adequately specified under certain conditions. This implies that any … analysis of the persistence and the asymmetry of the correlation is difficult and potentially inaccurate. I therefore propose a … new Flexible Dynamic Correlation (FDC) model that parameterizes the conditional correlation directly and eliminates …

A method capable of estimating richly parametrized versions of the dynamic conditional correlation (DCC) model that go …

We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation … deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as … a general test of stability of a constant correlation matrix. The size of the test in finite samples is studied by …

this area are the specification tests related to the correlation component, the extension of the general model to allow for … additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear …

allow these to differ from the correlation processes (namely, DCC-type models) are more beneficial than the models that …

This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped … evidence reported in this paper indicates that wild bootstrap versions of the LM test for serial correlation tend to overreject …

estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

, Engle and Ghysel's Mixed Data Sampling Dynamic Conditional Correlation Garch model to include a new scalar measure for the … degree of correlatedness in time-varying correlation matrices. We also explore the robustness of the findings with a less … model-dependent realized covariance estimator. We find a secular trend toward higher correlation during our sample period …