TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49025
AB  - The paper develops two Dynamic Conditional Correlation (DCC) models, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the standardized...
LA  - eng
KW  - Dynamic conditional correlations
KW  - Wishart process
KW  - EGARCH
KW  - GJR
KW  - asymmetric BEKK
KW  - heavy-tailed errors.
TI  - Dynamic Conditional Correlations for Asymmetric Processes
TY  - technical report
VL  - 2011
ER  -