Documents DYNAMIC CONDITIONAL CORRELATIONS

DYNAMIC CONDITIONAL CORRELATIONS Robert Engle UCSD and NYU and Robert F. Engle, Econometric Services WHAT WE KNOW VOLATILITIES AND CORRELATIONS VARY OVER TIME, SOMETIMES…

Documents Robert Engle UCSD and NYU and Robert F. Engle, Econometric Services DYNAMIC CONDITIONAL...

DYNAMIC CONDITIONAL CORRELATIONS Robert Engle UCSD and NYU and Robert F. Engle, Econometric Services WHAT WE KNOW VOLATILITIES AND CORRELATIONS VARY OVER TIME, SOMETIMES…