Leslie Kramer is a writer for Institutional Investor, correspondent for CNBC, journalist for Investopedia, and managing editor for Markets Group. Correlation measures the linear relationship between ...

The constant conditional correlation general autoregressive conditional heteroskedasticity (GARCH) model is among the most commonly applied multivariate GARCH models and serves as a benchmark against ...

An Excel pie chart displays categories of data as wedges in a circular graph. This format allows users to quickly see the contribution each category makes to the total figure and a correlation of ...

In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the ...