13-048/III - Ten Things you should know about DCC

• Authors
  Massimiliano Caporin, University of Padova; Michael McAleer, Erasmus University Rotterdam, University of Madrid, Kyoto University
• Publication date
  March 21, 2013

• Keywords
  DCC, 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