correlation (DCC GARCH) and Bayesian liner regression model to investigate time-varying correlations among the variables …

). The study employed the Dynamic Conditional Correlation (DCC GARCH) to investigate time-varying correlation among the …

Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the … standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no …

conditional volatility models, specifically the BEKK and DCC models. A serious technical deficiency is that the Quasi … literature have used the DCC model to test for volatility spillovers. However, it is well known in the financial econometrics … literature that the DCC model has no regularity conditions, and that the QMLE of the parameters of DCC has no asymptotic …

combination of DCC (Dynamic Conditional Correlation - a well-known Multivariate GARCH model) - with NL (Non-Linear shrinkage, a … substantial upgrade upon linear shrinkage technology); although 130/30 DCC-NL comes a close second. This is true both in the "pure … no-short-sales and linear shrinkage into a false "either-or" dichotomy. What if, instead of 0% leverage we considered …

correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …