TY  - RPRT
AU  - Hafner, Christian M.
AU  - McAleer, Michael
PY  - 2014
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/41614
AB  - One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the...
LA  - eng
KW  - Dynamic conditional correlation
KW  - Dynamic conditional Covariance
KW  - Vector random.coefficient moving average
KW  - stationarity
KW  - invertibility
KW  - asymptotic properties.
TI  - A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
TY  - technical report
VL  - 2014
ER  -