Dynamic Conditional Correlations for Asymmetric Processes
Work
Year: 2012
Type: article
Abstract: The paper develops a new Dynamic Conditional Correlation (DCC) model, namely the Wishart DCC (wDCC) model. The paper applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propo... more
Authors Manabu Asai, Michael McAleer
Institutions Soka University of America, Erasmus University Rotterdam, Tinbergen Institute, Institute of Economic Research of the Slovak Academy of Sciences, Kyoto University +1 more
Cites: 26
Cited by: 6
Related to: 10
FWCI: 0.597
Citation percentile (by year/subfield): 73.32
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze