Monica Billio, Massimiliano Caporin. A generalized Dynamic Conditional Correlation model for portfolio risk evaluation. Mathematics and Computers in Simulation, 79(8):2566-2578, 2009. [doi]
@article{BillioC09,
title = {A generalized Dynamic Conditional Correlation model for portfolio risk evaluation},
author = {Monica Billio and Massimiliano Caporin},
year = {2009},
doi = {10.1016/j.matcom.2008.12.011},
url = {http://dx.doi.org/10.1016/j.matcom.2008.12.011},
researchr = {https://researchr.org/publication/BillioC09},
cites = {0},
citedby = {0},
journal = {Mathematics and Computers in Simulation},
volume = {79},
number = {8},
pages = {2566-2578},
}