Dynamic Conditional Correlation
Dynamic Conditional Correlation is a scholarly work, published in 2002 in ''Journal of Business & Economic Statistics''. The main subjects of the publication include mathematics, econometrics, heteroscedasticity, volatility, univariate, autoregressive conditional heteroskedasticity, macroeconomics, statistics, autoregressive model, correlation, and multivariate statistics. Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data.