for volatility, correlation and covariance using high frequency financial data. It also implements complementary …

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 …

that characterize long-term correlation patterns. We associate such term behavior with low-frequency economic variables … improves both the empirical fit of equity correlations in the U.S. and correlation forecasts at long horizons …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … correlation can be quantified within an EGARCH model, where the composite disturbance to the return follows a normal log … the contemporaneous correlation being negative and the ARCH-M effect being positive …

variable as well as the correlation of the covariates in the active set are allowed to vary over time, without committing to …

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …