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Dynamic partial correlation models
D'Innocenzo, Enzo; Lucas, André - 2022
recurrence equations, we establish stationarity, ergodicity, and filter invertibility in the multivariate setting using …
Persistent link: https://www.econbiz.de/10013375366
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …
Persistent link: https://www.econbiz.de/10011715983
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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
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010374571
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Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical … obtain an asymptotic test and confidence bounds for the unfeasible "true" invertibility region of the parameter space. …
Persistent link: https://www.econbiz.de/10011556144
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
properties of the QMLE for the EGARCH(p,q) model is the lack of an invertibility condition for the returns shocks underlying the … invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the …
Persistent link: https://www.econbiz.de/10010477092
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility … stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re …
Persistent link: https://www.econbiz.de/10010384390
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
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Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …
Persistent link: https://www.econbiz.de/10010364739
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
This article generalises the results of Sadi and Zakoian (2006) to a considerably larger class of nonlinear ARCH models with discontinuities, leverage e ects and robust news impact curves. We propose a new method of proof for the existence of a strictly stationary and phi-mixing solution....
Persistent link: https://www.econbiz.de/10011699508
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Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021 - This version: June 21, 2021
, stationarity, ergodicity, and filter invertibility. We further establish consistency and asymptotic normality of the maximum …
Persistent link: https://www.econbiz.de/10012591559