What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
Year of publication: |
2019
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Authors: | McAleer, Michael |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 2/61, p. 1-9
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Subject: | hedging | covariances | correlations | existence | mathematical regularity | invertibility | likelihood function | statistical asymptotic properties | caveats | practical implementation | Korrelation | Correlation | Hedging | Theorie | Theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm12020061 [DOI] hdl:10419/238996 [Handle] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; c58 ; C62 - Existence and Stability Conditions of Equilibrium ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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McAleer, Michael, (2019)
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