Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations

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MGARCH models: Trade-off between feasibility and flexibility (2018, background): “Bollerslev (1990) introduces the CCC model, assuming that the conditional correlation matrix is constant over time, that is, Rt = R, where, R is a symmetric positive definite matrix; see, for example, Laurent et al. (2013) and Amado and Teräsvirta (2014) for recent empirical applications.”