A scalar dynamic conditional correlation model: structure and estimation

DOI10.1007/S11425-017-9273-XMaRDI QIDQ1989915zbMATH OpenOpenAlexWikidataFDO

Authors Hui Wang, Jiazhu Pan

Publication date 29 October 2018

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://strathprints.strath.ac.uk/63872/

zbMATH Keywords

asymptotic normalityergodicitystationarityconsistencydynamic conditional correlation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series analysis of dynamical systems (37M10)

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Cites work

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• scientific article; zbMATH DE number 4084685 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets
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• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Multivariate GARCH Models
• Nonlinear time series. Nonparametric and parametric methods
• On asymptotic theory for multivariate GARCH models
• On the parametrization of multivariate GARCH models
• On the stationarity of dynamic conditional correlation models
• QML estimation of a class of multivariate asymmetric GARCH models
• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Variance clustering improved dynamic conditional correlation MGARCH estimators

Cited in

(8)

• Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
• scientific article; zbMATH DE number 6612015 (Why is no real title available?)
• Stationarity and invertibility of a dynamic correlation matrix.
• Weak diffusion limits of dynamic conditional correlation models
• Estimation and empirical performance of non-scalar dynamic conditional correlation models
• On the stationarity of dynamic conditional correlation models
• On the estimation of dynamic conditional correlation models
• A stochastic recurrence equations approach for score driven correlation models

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