DCC Correlation

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DCC Correlation

Postby Raqia » Wed Dec 20, 2017 3:55 am

I am working on correlations between stock and bond markets . For instance, I want to determine first correlation between bonds and stocks and then using that correlation as dependent variable. I want to look possible factors explaining that correlation.
However i have no idea how to extract correlation series to build my dependent variable(my data is from 1980 to 2017). Shall i go for rolling window correlation or is there any other alternative to create correlation series that will serve as dependent variable?

I would be thankful for your suggestions.

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