Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
performance. In this paper, we provide an empirical comparison of a set of MGARCH models, namely BEKK, DCC, Corrected DCC (cDCC … model comparison, including the Weighted Likelihood Ratio test of Amisano and Giacomini (2007). Third, we examine how the …