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Spurious relationships for nearly non-stationary series
Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10013201050
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Spurious relationships for nearly non-stationary series
Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24
Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10012626690
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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 - Tinbergen Instituut - 2014
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10011257506
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A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Department of Economics and Finance, College of … - 2014
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010796148
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A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian Matthias; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
obtained from a vector random coefficient moving average process, and derives the stationarity and invertibility conditions …
Persistent link: https://www.econbiz.de/10011162549
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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
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010491317
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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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Stationarity and Invertibility of a Dynamic Correlation Matrix
McAleer, Michael - 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/10012948028
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Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
Persistent link: https://www.econbiz.de/10011734899