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http://dx.doi.org/10.5351/KJAS.2014.27.7.1219

Extended Constant Conditional Correlation (ECCC) Model for Multivariate GARCH Time Series: an Illustration  

Lee, Seung Yeon (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.27, no.7, 2014 , pp. 1219-1228 More about this Journal
Abstract
Constant conditional correlation (CCC) is frequently employed for parsimony in the field of multivariate GARCH time series. An extended-CCC (ECCC) model is further developed in order to allow interactions between multivariate volatilities. The paper introduces both CCC model and ECCC model to the domestic financial time series. The CCC and ECCC models are fitted and then compared with each other through various multivatiate time series.
Keywords
Constant conditional correlation (CCC); extended-CCC (ECCC); interactions;
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Times Cited By KSCI : 2  (Citation Analysis)
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