Narrow search
Showing 1 - 10 of 24,396
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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/10011586697
Cover Image
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-9
In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...
Persistent link: https://www.econbiz.de/10012611137