Colacito, Riccardo; Engle, Robert F.; Ghysels, Eric - In: Journal of Econometrics 164 (2011) 1, pp. 45-59
We propose a model of dynamic correlations with a short- and long-run component specification, by extending the idea of component models for volatility. We call this class of models DCC-MIDAS. The key ingredients are the Engle (2002) DCC model, the Engle and Lee (1999) component GARCH model...
