DO WE REALLY NEED BOTH BEKK AND DCC? A TALE OF TWO MULTIVARIATE GARCH MODELS

Author:

Caporin Massimiliano,McAleer Michael

Publisher

Wiley

Subject

Economics and Econometrics

Reference32 articles.

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4. Flexible dynamic conditional correlation multivariate GARCH for asset allocation;Billio;Applied Financial Economics Letters,2006

5. Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH approach;Bollerslev;Review of Economic and Statistics,1990

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