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Dynamic asset correlations based on vines
Poignard, Benjamin; Fermanian, Jean-David - 2014
Persistent link: https://www.econbiz.de/10010481261
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On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David; Malongo, Hassan - 2013
Persistent link: https://www.econbiz.de/10010342712
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On the Stationarity of Dynamic Conditional Correlation Models
Fermanian, Jean-David - 2014
We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study...
Persistent link: https://www.econbiz.de/10013053425
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High-dimensional penalized arch processes
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric reviews 40 (2021) 1, pp. 86-107
Persistent link: https://www.econbiz.de/10012483797
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On the stationarity of dynamic conditional correlation models
Fermanian, Jean-David; Malongo, Hassan - In: Econometric theory 33 (2017) 3, pp. 636-663
Persistent link: https://www.econbiz.de/10011810178
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Dynamic asset correlations based on vines
Poignard, Benjamin; Fermanian, Jean-David - In: Econometric theory 35 (2019) 1, pp. 167-197
Persistent link: https://www.econbiz.de/10012146127
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On the link between volatilities, regime switching probabilities and correlation dynamics
Fermanian, Jean-David; Malongo, Hassan - In: Annals of economics and statistics 131 (2018), pp. 1-24
Persistent link: https://www.econbiz.de/10011995894