Stationarity and invertibility of a dynamic correlation matrix.
DOI10.14736/KYB-2018-2-0363zbMATH Open1449.62270OpenAlexW2803055090MaRDI QIDQ4568273FDOQ4568273
Authors: Michael McAleer 
Publication date: 15 June 2018
Published in: Kybernetika (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10338.dmlcz/147200
Recommendations
- On the stationarity of dynamic conditional correlation models
- A scalar dynamic conditional correlation model: structure and estimation
- Weak diffusion limits of dynamic conditional correlation models
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- A GARCH-variance dependent approach to modelize dynamic conditional correlations
stationarityasymptotic propertiesinvertibilitydynamic conditional correlationdynamic conditional covariancevector random coefficient moving average
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Augmented GARCH\((p,q)\) process and its diffusion limit
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Asymptotic theory for a vector ARMA-GARCH model
- Conditional Heteroscedastic Time Series Models
- Title not available (Why is that?)
Cited In (9)
- Weak diffusion limits of dynamic conditional correlation models
- The structure of dynamic correlations in multivariate stochastic volatility models
- The uncertainty of conditional returns, volatilities and correlations in DCC models
- On the stationarity of dynamic conditional correlation models
- A scalar dynamic conditional correlation model: structure and estimation
- On the estimation of dynamic conditional correlation models
- Dynamic conditional angular correlation
- Negative volatility spillovers in the unrestricted ECCC-GARCH model
- A stochastic recurrence equations approach for score driven correlation models
This page was built for publication: Stationarity and invertibility of a dynamic correlation matrix.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4568273)
