Stationarity and invertibility of a dynamic correlation matrix.

DOI10.14736/KYB-2018-2-0363MaRDI QIDQ4568273zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stationarityasymptotic propertiesinvertibilitydynamic conditional correlationdynamic conditional covariancevector random coefficient moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• scientific article; zbMATH DE number 6027064 (Why is no real title available?)
• Asymptotic theory for a vector ARMA-GARCH model
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroscedastic Time Series Models
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Generalized autoregressive conditional heteroscedasticity

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

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