Dynamic Conditional Correlation
Top Cited Papers
- 1 July 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (3) , 339-350
- https://doi.org/10.1198/073500102288618487
Abstract
Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A...Keywords
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