A Sufficient Condition for the Positive Definiteness of the Covariance Matrix of a Multivariate GARCH Model

We prove that the elementwise product of two quadratic symmetric and positive semidefinite matrices is symmetric and positive semidefinite. This property allows us to formulate a sufficient condition for the positive definiteness of the covariance matrix of the diagonal multivariate GARCH model

MoreLess

Year of publication:	2001
Authors:	Silberberg, Gheorghe ; Pafka, Szilard
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Schätztheorie \| Estimation theory \| Korrelation \| Correlation \| Multivariate Analyse \| Multivariate analysis

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2001 erstellt
Other identifiers:	10.2139/ssrn.275136 [DOI]
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014128525