TY  - RPRT
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49250
AB  - Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of...
LA  - spa
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Conditional correlations
KW  - Conditional covariances
KW  - Diagonal models
KW  - Forecasting
KW  - Generalized models
KW  - Hadamard models
KW  - Scalar models
KW  - Targeting.
TI  - Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models
TY  - technical report
VL  - 2009
ER  -