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Equity market liberalizations as country IPOs

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An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

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