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Keywords: MGARCH DCC
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Journal Articles
Journal of Economic and Administrative Sciences (2024) 40 (4): 870–888.
Published: 13 May 2022
...; as others before us, we used Engle's (2002) pathbreaking work, the multivariate-GARCH (MGARCH DCC) model. It was introduced as a new class of estimator to overcome the limitation associated with the Bollerslev’s (1988) constant conditional correlation (CCC) model, which is the constant conditional...
