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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26700

Title: DYNAMIC CONDITIONAL CORRELATION A SIMPLE CLASS OF MULTIVARIATE GARCH MODELS
Authors: Engle, Robert
Issue Date: May-2000
Series/Report no.: FIN-00-034
Abstract: Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross products of returns. A new class of multivariate models called dynamic conditional correlation (DCC) models is proposed. These have the flexibility of univariate GARCH models coupled1 with parsimonious parametric models for the correlations. They are not linear but can often be estimated very simply with univariate or two step methods based on the likelihood function. It is shown that they perform well in a variety of situations and give sensible empirical results.
URI: http://hdl.handle.net/2451/26700
Appears in Collections:Finance Working Papers

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