Engle DCC model

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pascal
Posts: 6
Joined: Thu Mar 04, 2010 7:06 am

Engle DCC model

Postby pascal » Mon Mar 29, 2010 5:39 am

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!!

Teng
Posts: 2
Joined: Fri Mar 19, 2010 5:48 am

Re: Engle DCC model

Postby Teng » Tue Mar 30, 2010 5:10 am

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.

pascal
Posts: 6
Joined: Thu Mar 04, 2010 7:06 am

Re: Engle DCC model

Postby pascal » Thu Apr 15, 2010 1:39 am

OH...sorry.
I don't have the Eview code to run DCC model.


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