Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices (Q385646)

\textit{R. Engle}'s dynamic conditional correlation model [``Dynamic conditional correlation. A simple class of multivariate generalized autoregressive conditional heteroskedasticity models'', J. Bus. Econ. Stat. 20, No. 3, 339--350 (2002; \url{doi:10.1198/073500102288618487})] is applied for estimating dynamic relationships of market expectation under future uncertainty. The main volatility indices are considered here. The reviewed paper is an example of modern econometrics empirical application.