13-078/III - Ten Things you should know about the Dynamic Conditional Correlation Representation

• Authors
  Massimiliano Caporin, University of Padova, Italy; Michael McAleer, Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain, and Kyoto University, Japan
• Publication date
  June 10, 2013

• Keywords
  DCC representation, BEKK, GARCC, stated representation, derived model, conditional covariances, conditional correlations, regularity conditions, moments, two step estimators, assumed properties, asymptotic properties, filter, diagnostic check
• JEL
  C18, C32, C58, G17