Dynamic Conditional Correlation

Engle, Robert F.

doi:10.1198/073500102288618487

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Dynamic Conditional Correlation : A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

Author(s): Robert Engle

Publication date Created: July 2002

Publication date (Print): July 2002

Journal: Journal of Business & Economic Statistics

Publisher: Informa UK Limited

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Title: Journal of Business & Economic Statistics

Abbreviated Title: Journal of Business & Economic Statistics

Publisher: Informa UK Limited

ISSN (Print): 0735-0015

ISSN (Electronic): 1537-2707

Publication date Created: July 2002

Publication date (Print): July 2002

Volume: 20

Issue: 3

Pages: 339-350

Article

DOI: 10.1198/073500102288618487

SO-VID: 85599780-fd5d-4741-a901-9a54677c0b76

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