Engle DCC model
Posted: 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!!
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!!