building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …

these forecasts. In this paper we analyse these effects on the context of dynamic conditional correlation (DCC) models when … for return, volatilities, conditional correlation and VaR that is robust to outliers. The results are illustrated with …

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 …

serially dependent innovations. To make estimation computationally tractable, we exploit a certain Kronecker structure of the …

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 …

breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in … the forecasting accuracy of the correlation component models by explicitly accounting for parameter instability over time …

-specific effects on implied tranche correlations. The implied-correlation forecasts of tranche spreads are compared to forecasts using … correlation model …

correlation-drawdown hysteresis effect. The eCORR index promises to be useful for early detection of market correlations, managing …