The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the standardized residuals, and hence does not yield dynamic conditional correlations; DCC is stated rather than derived; DCC has no moments; DCC does not have testable regularity conditions; DCC yields inconsistent two step estimators; DCC has no asymptotic properties; DCC is not a special case of GARCC, which has testable regularity conditions and standard asymptotic properties; DCC is not dynamic empirically as the effect of news is typically extremely small; DCC cannot be distinguished empirically from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. Classification-JEL: C18, C32, C58, G17 Keywords: DCC representation, BEKK, GARCC, stated representation, derived model, conditional covariances, conditional correlations, regularity conditions, moments, two step estimators, assumed properties, asymptotic properties, filter, diagnostic check File-Url: https://papers.tinbergen.nl/13078.pdf File-Format: application/pdf File-Size: 198591 bytes Handle: RePEc:tin:wpaper:20130078