Dynamic Conditional Correlation

JOURNAL ARTICLE published July 2002 in Journal of Business & Economic Statistics

Authors: Robert Engle

Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Robert F. Engle

Multivariate generalized autoregressive conditional heteroscedasticity (GARCH) modeling of sector volatility transmission: A dynamic conditional correlation (DCC) model approach

JOURNAL ARTICLE published 11 July 2012 in AFRICAN JOURNAL OF BUSINESS MANAGEMENT

Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH

REPORT published October 2001

Authors: Robert Engle | Kevin Sheppard

GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION

JOURNAL ARTICLE published December 2008 in Econometric Theory

Authors: Michael McAleer | Felix Chan | Suhejla Hoti | Offer Lieberman

A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models

JOURNAL ARTICLE published July 2005 in Journal of Business & Economic Statistics

Authors: Luc Bauwens | Sébastien Laurent

A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations

JOURNAL ARTICLE published July 2002 in Journal of Business & Economic Statistics

Authors: Y. K Tse | Albert K. C Tsui

EFFICIENT IV ESTIMATION FOR AUTOREGRESSIVE MODELS WITH CONDITIONAL HETEROSKEDASTICITY

JOURNAL ARTICLE published June 2002 in Econometric Theory

Authors: Guido M. Kuersteiner

Generalized method of moments estimation of generalized autoregressive conditional heteroskedastic models

DISSERTATION published

Authors: Chun-man Pang

Inflation inertia in Turkish economy: dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) and wavelet analysis

JOURNAL ARTICLE published 31 December 2020 in Pressacademia

Authors: Caner Ozdurak | Cengiz Karatas

Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Annastiina Silvennoinen | Timo Terasvirta

A New Frontier for Studying Within-Person Variability: Bayesian Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

POSTED CONTENT published

Authors: Philippe Rast | Stephen Ross Martin | Siwei Liu | Donald Ray Williams

Review for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

PEER REVIEW published 2 April 2020

Review for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

PEER REVIEW published 25 March 2020

Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

JOURNAL ARTICLE published 2 January 2014 in Journal of Business & Economic Statistics

Authors: Cristina Amado | Timo Teräsvirta

Review for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

PEER REVIEW published 22 May 2020

Forecasting Transaction Rates: The Autoregressive Conditional Duration Model

REPORT published December 1994

Authors: Robert Engle | Jeffrey Russell

ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS

JOURNAL ARTICLE published June 2017 in Econometric Theory

Authors: Jean-David Fermanian | Hassan Malongo

Dynamic Conditional Correlation Models with Asymmetric Multivariate Laplace Innovations

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Juan Pablo Cajigas | Giovanni Urga

Decision letter for "Using autoregressive-dynamic conditional correlation model with residual analysis to extract dynamic functional connectivity"

PEER REVIEW published 6 April 2020