Dynamic Conditional Correlation Models is a multivariate volatility modeling framework that extends univariate GARCH models by allowing time-varying conditional correlations among asset returns within a flexible, parsimonious, and consistently estimable structure.
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Variants
Dcc Models
Parents
Publications
494
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations
Business, Finance, Econometrics +16
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UCLouvain
Louvain-la-Neuve, Belgium
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24 publications
7.4K citations
University of Sfax
Sfax, Tunisia
12 h-index
24 publications
639 citations
New York University
New York, United States
8 h-index
8 publications
8.9K citations
University of Hong Kong
Pok Fu Lam, Hong Kong
7 h-index
8 publications
299 citations
Erasmus University Rotterdam
Rotterdam, The Netherlands
7 h-index
8 publications
561 citations
University of Sousse
Sousse, Tunisia
7 h-index
12 publications
283 citations
Tinbergen Institute
Rotterdam, The Netherlands
7 h-index
12 publications
695 citations
Kobe University
Kobe, Japan
6 h-index
12 publications
243 citations
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- Applied Economics
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