Theoretical and empirical properties of Dynamic Conditional Correlation Multivariate GARCH
By: Robert F. Engle, Kevin Sheppard.
Contributors: Sheppard, Kevin.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8554; Working paper series (National Bureau of Economic Research) -- working paper no. 8554.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 43
Subjects: Assets -- Prices -- Econometric models.; Stock price forecasting -- Econometric models.; Stock price forecasting -- United States.; Risk management.; Correlation (Statistics)
Genres: Econometric models.
Notes: "October 2001."

JEL no. C32, G0, G1.

Includes bibliographical references (p. 41-43).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.