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Keywords: Dynamic conditional correlation
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2019) 46 (2): 467–481.
Published: 04 March 2019
...). Design/methodology/approach To ascertain the asymmetric behavior of dynamic correlations, the authors use the dynamic conditional correlation (DCC) model, the asymmetric dynamic conditional correlation (A-DCC) model and the diagonal BEKK model assuming Gaussian and Student’s t distribution...
