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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
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