We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation parameters can lead to misleading conclusions. We then suggest...

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatil- ities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

This paper examines the interplay between stock market returns and their volatility, focus ingon the Asian and global financial crises of 1997-98 and 2008-09 for Australia, Singapore, the UK, and the US. We use a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...

In the article an attempt was made to investigate the interaction among the various stock exchanges as well as various exchange rates and then to determine the direction of information flow between capital and currency markets. Tools used in this study are Multivariate GARCH models. Presented...