Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10000910635
Persistent link: https://www.econbiz.de/10000953743
Persistent link: https://www.econbiz.de/10000955669
In this paper we derive conditions for the conditional covariance matrix to be positive definite in a general vector ARCH model. The conditions can be easily extended to the diagonal vector GARCH model. For the general vector GARCH model, analytical expressions for the conditions in terms of the...
Persistent link: https://www.econbiz.de/10001714621