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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010374571
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010477092
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10011715983