Compute dynamic conditional correlations of residuals

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misscats
Posts: 29
Joined: Wed Mar 19, 2014 8:37 am

Compute dynamic conditional correlations of residuals

Postby misscats » Wed Apr 15, 2015 6:49 am

Dear all

I searched a while for the issue but most of results are related to GARCH model.

I ran a GMM model and got two series of residuals. I wonder whether it is possible to compute dynamic conditional correlations by giving my saved two sets of residuals in Eviews.

Thanks for your help.

Misscats
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