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RATS program to estimate various forms of DCC GARCH models

Author

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  • Tom Doan

    () (Estima)

Abstract

Example of two-step estimates of various DCC models. This is the technique described in Cappiello, Engle & Sheppard(2006), "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, vol. 4, no 4, pages 537-572, applied to a different data set.

Suggested Citation

  • Tom Doan, "undated". "RATS program to estimate various forms of DCC GARCH models," Statistical Software Components RTZ00174, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00174
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    Keywords

    ARCH-GARCH; DCC;

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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