Ten things you should know about the dynamic conditional correlation representation

• Published in: Econometrics Vol. 1; no. 1; pp. 115 - 126
• Main Authors: Caporin, Massimiliano, McAleer, Michael
• Format: Journal Article
• Language: English
• Published: Basel MDPI 01.06.2013; MDPI AG
• Subjects: assumed asymptotic properties; BEKK; conditional correlations; DCC representation; derived model; Econometrics; Economics; Estimating techniques; filter; GARCC; Korrelation; Standardization; stated representation; Statistische Methode; Studies; Theorie; two step estimators

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: D...