Berens, TobiasWeiß, Gregor N.F.Wied, Dominik2013-05-222013-05-222013-05-22http://hdl.handle.net/2003/3033010.17877/DE290R-5396In this paper, we compare the Constant Conditional Correlation (CCC) model to its dynamic counterpart, the Dynamic Conditional Correlation (DCC) model with respect to its accuracy for forecasting the Value-at-Risk of financial portfolios. Additionally, we modify these benchmark models by combining them with a pairwise test for constant correlations, a test for a constant correlation matrix, and a test for a constant covariance matrix. In an empirical horse race of these models based on five- and ten-dimensional portfolios, our study shows that the plain CCC- and DCC-GARCH models are outperformed in several settings by the approaches modified by tests for structural breaks in asset correlations and covariances.enDiscussion Paper / SFB 823;21/2013CCC-GARCHDCC-GARCHestimation windowstructural breaksVaR-forecast310330620working paper