Additional resources are available here:
- Engle, R.F. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business and Economic Statistics 20, 339–350: https://amstat.tandfonline.com/doi/pdf/10.1198/073500102288618487
- Ghalanos, A. (2019). The rmgarch models: Background and properties. (Version 1.3-0): https://cran.r-project.org/web/packages/rmgarch/vignettes/The_rmgarch_models.pdf