I am trying to use Engle's DCC model to estimate the time varying relationship between stock returns.
Do anyone know if there is constant conditional correlation between the two series:
1) if one of the DCC parameter, alpha or beta, which is statistically insignicant, (not both)
2) if alpha is statistically equal to zero.
Thank you!!
Engle DCC model
Moderators: EViews Gareth, EViews Moderator
Re: Engle DCC model
Hi,
I'm a new user in EVIEWS and currently doing my PhD. I plan to use this Engel DCC model. Can you share the codes? May be I need your help to tell me how to use it.
I'm a new user in EVIEWS and currently doing my PhD. I plan to use this Engel DCC model. Can you share the codes? May be I need your help to tell me how to use it.
Re: Engle DCC model
OH...sorry.
I don't have the Eview code to run DCC model.
I don't have the Eview code to run DCC model.
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