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RT @carlcarrie: A new version of the Dynamic Conditional Correlation (DCC) model wherein information from daily OHLC prices is utilized in…
RT @carlcarrie: A new version of the Dynamic Conditional Correlation (DCC) model wherein information from daily OHLC prices is utilized in…
A new version of the Dynamic Conditional Correlation (DCC) model wherein information from daily OHLC prices is utilized in both variance and correlation equations. DCC-OHLC model, vs DCC model of Engle, vs the range-based DCC model of Chou et al. https:/