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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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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/10011819475
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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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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 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 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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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/10010491325
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 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/10010491406
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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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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