Open AccessTheoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH
Author(s) -
Robert F. Engle,
Kevin Sheppard
Publication year - 2001
Language(s) - English
Resource type - Reports
DOI - 10.3386/w8554
Subject(s) - autoregressive conditional heteroskedasticity , conditional variance , estimator , econometrics , univariate , multivariate statistics , covariance , mathematics , statistics , volatility (finance)