Cappiello, Lorenzo; Engle, Robert F.; Sheppard, Kevin - In: Journal of Financial Econometrics 4 (2006) 4, pp. 537-572
This paper proposes a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model. The AG-DCC process extends previous specifications along two dimensions: it allows for series-specific news impact and...
