Canonical correlation analysis (CCA) has the ability to deal with two sets of multivariate variables simultaneously and …, I apply CCA to explore the mutually interdependent relationship between transport and development in China's Zhujiang … subdominant transport-development relationships in this growing region of China …

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by … 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 …