A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Year of publication: |
2014-07-09
|
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Authors: | Hafner, Christian M. ; McAleer, Michael |
Institutions: | Department of Economics and Finance, College of Business and Economics |
Subject: | Dynamic conditional correlation | dynamic conditional covariance | vector random coefficient moving average | stationarity | invertibility | asymptotic properties |
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