{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,15]],"date-time":"2026-10-15T21:49:27Z","timestamp":1792100967651,"version":"4.4.0"},"reference-count":42,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2016,6,13]],"date-time":"2016-06-13T00:00:00Z","timestamp":1465776000000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2017,6]]},"abstract":"<jats:p>The properties of dynamic conditional correlation (DCC) models, introduced more than a decade ago, are still not entirely known. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a diffusion matrix of reduced rank. The degeneracy is due to perfect collinearity between the innovations of the volatility and correlation dynamics. For the special case of constant conditional correlations, a nondegenerate diffusion limit can be obtained. Alternative sets of conditions are considered for the rate of convergence of the parameters, obtaining time-varying but deterministic variances and\/or correlations. A Monte Carlo experiment confirms that the often used quasi-approximate maximum likelihood (QAML) method to estimate the diffusion parameters is inconsistent for any fixed frequency, but that it may provide reasonable approximations for sufficiently large frequencies and sample sizes.<\/jats:p>","DOI":"10.1017\/s0266466616000128","type":"journal-article","created":{"date-parts":[[2016,6,13]],"date-time":"2016-06-13T11:19:06Z","timestamp":1465816746000},"page":"691-716","source":"Crossref","is-referenced-by-count":10,"title":["WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS"],"prefix":"10.1017","volume":"33","author":[{"given":"Christian M.","family":"Hafner","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sebastien","family":"Laurent","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Francesco","family":"Violante","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2016,6,13]]},"reference":[{"key":"S0266466616000128_ref4","doi-asserted-by":"crossref","first-page":"287","DOI":"10.1016\/j.csda.2004.05.014","article-title":"An option pricing formula for the GARCH diffusion model","volume":"49","author":"Barone-Adesi","year":"2005","journal-title":"Computational Statistics and Data Analysis"},{"key":"S0266466616000128_ref9","doi-asserted-by":"crossref","first-page":"145","DOI":"10.1016\/S0304-4076(99)00053-6","article-title":"Reconsidering the continuous time limit of the GARCH(1,1) process","volume":"96","author":"Corradi","year":"2000","journal-title":"Journal of Econometrics"},{"key":"S0266466616000128_ref31","doi-asserted-by":"crossref","first-page":"1350","DOI":"10.1214\/13-AOS1118","article-title":"Maximum-likelihood estimation for diffusion processes via closed-form density expansions","volume":"41","author":"Li","year":"2013","journal-title":"Annals of Statistics"},{"key":"S0266466616000128_ref16","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1016\/B978-012598275-7.50012-0","volume-title":"Modeling Stock Market Volatility: Bridging the Gap to Continuous Time","author":"Engle","year":"1996"},{"key":"S0266466616000128_ref35","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/0304-4076(94)01679-8","article-title":"Asymptotic filtering theory for multivariate ARCH models","volume":"71","author":"Nelson","year":"1996","journal-title":"Journal of Econometrics"},{"key":"S0266466616000128_ref38","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4684-9305-4","volume-title":"Stochastic Calculus and Financial Applications","author":"Steele","year":"2001"},{"key":"S0266466616000128_ref12","doi-asserted-by":"crossref","first-page":"31","DOI":"10.1016\/0304-4076(95)01750-X","article-title":"Closing the gap: Continuous time GARCH modeling","volume":"74","author":"Drost","year":"1996","journal-title":"Journal of Econometrics"},{"key":"S0266466616000128_ref1","unstructured":"Aielli, G.P . 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