Showing 1 - 2 of 2
heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …
Persistent link: https://www.econbiz.de/10012611071
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 caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10010421297