TY  - RPRT
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2013
UR  - https://hdl.handle.net/20.500.14352/41489
AB  - The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for...
LA  - eng
KW  - DCC representation
KW  - BEKK
KW  - GARCC
KW  - Stated representation
KW  - Derived model
KW  - Conditional covariances
KW  - Conditional correlations
KW  - regularity conditions
KW  - moments
KW  - two step estimators
KW  - Assumed properties
KW  - Asymptotic properties
KW  - filter
KW  - Diagnostic check.
TI  - Ten Things You Should Know About the Dynamic Conditional Correlation Representation
TY  - technical report
VL  - 2013
ER  -