Stationarity and invertibility of a dynamic correlation matrix. (Q4568273)
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scientific article; zbMATH DE number 6890426
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| English | Stationarity and invertibility of a dynamic correlation matrix. |
scientific article; zbMATH DE number 6890426 |
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Stationarity and invertibility of a dynamic correlation matrix (English)
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15 June 2018
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dynamic conditional correlation
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dynamic conditional covariance
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vector random coefficient moving average
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stationarity
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invertibility
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asymptotic properties
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0.8830305337905884
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0.8498641848564148
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0.8387392163276672
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0.8348209261894226
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0.8110646605491638
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