Dynamic Conditional Correlation: On properties and estimation
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References listed on IDEAS
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More about this item
KeywordsMultivariate GARCH Model; Quasi-Maximum-Likelihood; Two-step Estimation; Integrated Correlation; Generalized Profile Likelihood.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-ECM-2012-05-08 (Econometrics)
- NEP-ETS-2012-05-08 (Econometric Time Series)
- NEP-ORE-2012-05-08 (Operations Research)
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