A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets

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MGARCH models: Trade-off between feasibility and flexibility (2018, background): “Hafner and Franses (2009) also extend the DCC model by allowing the parameters to vary across assets and Otranto (2010) proposes a clustering algorithm to identify similar structures of correlation dynamics in the DCC models.”
Multivariate Rotated ARCH Models (2014, methodology): “The primary di¤erence is that we apply this speci cation to the rotated standardized returns, which has the important implication that unlike Hafner and Franses (2009), our model preserves the correlation targeting property and is also not subject to the bias problem discussed in Aielli (2006).”