Ten Things You Should Know about the Dynamic Conditional Correlation Representation
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چکیده
منابع مشابه
Ten Things You Should Know About the Dynamic Conditional Correlation Representation*
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
متن کاملDEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Ten Things You Should Know About the Dynamic Conditional Correlation Representation
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does n...
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ژورنال
عنوان ژورنال: Econometrics
سال: 2013
ISSN: 2225-1146
DOI: 10.3390/econometrics1010115