RATS program to estimate various forms of DCC GARCH models
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Other versions of this item:
- Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
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KeywordsARCH-GARCH; DCC; RATS;
All these keywords.
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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