On the Stationarity of Dynamic Conditional Correlation Models

We provide conditions for the existence and the unicity of strictly stationary solutions of the usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. Moreover, we study the existence of their finite moments

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Year of publication:	2013-09
Authors:	Fermanian, Jean-David ; Malongo, Hassan
Institutions:	Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
Subject:	Multivariate dynamic models \| conditional correlations \| stationarity \| DCC

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2013-26 3 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010747002