return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … passes the usual diagnostic tests based on probability integral transforms, but fails the value at risk (VaR) based … ; weekly returns ; multivariate t ; financial interdependence ; VaR diagnostics ; 2008 stock market crash …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …