Stationarity and invertibility of a dynamic correlation matrix
Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Discipline of Business Analytics, University of Sydney Business School, Australia and Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics, Complutense University of Madrid, Spain and Institute of Advanced Studies, Yokohama National University, Japan)
| Year of publication: |
[2017] ; Revised: September 2017
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|---|---|
| Authors: | McAleer, Michael |
| Publisher: |
[Rotterdam] : [Econometric Institute, Erasmus School of Economics] |
| Subject: | Korrelation | Correlation | Stationarität | Stationarity | ARCH-Modell | ARCH model |
freely available
| Extent: | 1 Online-Ressource (circa 19 Seiten) |
|---|---|
| Series: | Econometric Institute research papers. - Rotterdam : [Verlag nicht ermittelbar], ZDB-ID 2169625-1. - Vol. EI2017, 20 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | hdl:1765/101761 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011734899