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Reproduced with permission of the copyright owner. Further reproduction prohibited without permission. Dynamic conditional correlation: A simple class of multivariate generalized ... Robert Engle Journal of Business & Economic Statistics; Jul 2002; 20, 3; ABI/INFORM Global pg. 339
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Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

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Page 1: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Dynamic conditional correlation: A simple class of multivariate generalized ...Robert EngleJournal of Business & Economic Statistics; Jul 2002; 20, 3; ABI/INFORM Globalpg. 339

Page 2: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 3: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 4: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 5: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 6: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 7: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 8: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 9: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 10: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 11: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.

Page 12: Dynamic conditional correlation: A simple class of ...faculty.washington.edu/ezivot/econ589//////EngleDCCJBES.pdf · Street research. Simple methods such as rolling historical cor-

Reproduced with permission of the copyright owner. Further reproduction prohibited without permission.