Manabu, Asai; So Mike K.P. - In: Journal of Time Series Econometrics 7 (2015) 1, pp. 26-26
We propose a fractionally integrated matrix-exponential dynamic conditional correlation (FIEDCC) model to capture the asymmetric effects and long- and short-range dependence of a correlation process. We also propose employing an inverse Wishart distribution for the disturbance of a covariance...