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  • Search: subject:"dynamic conditional covariance"
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Year of publication
Subject
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asymptotic properties 6 invertibility 6 stationarity 6 dynamic conditional covariance 5 vector random coefficient moving average 5 Dynamic conditional correlation 4 Correlation 2 Korrelation 2 dynamic conditional correlation 2 ARCH model 1 ARCH-Modell 1 Analysis of variance 1 Dynamic conditional Covariance 1 Stationarity 1 Stationarität 1 Stochastic process 1 Stochastischer Prozess 1 Time series analysis 1 Varianzanalyse 1 Vector random. coefficient moving average 1 Zeitreihenanalyse 1
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Online availability
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Free 6
Type of publication
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Book / Working Paper 6
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 4 Undetermined 2
Author
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McAleer, Michael 5 Hafner, Christian M. 3 Hafner, Christian Matthias 1 mcAleer, Michael 1
Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Tinbergen Instituut 1
Published in...
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Discussion paper / Tinbergen Institute 2 Tinbergen Institute Discussion Paper 2 Documentos de Trabajo del ICAE 1 Tinbergen Institute Discussion Papers 1
Source
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ECONIS (ZBW) 2 EconStor 2 RePEc 2
Showing 1 - 6 of 6
Cover Image
Stationarity and Invertibility of a Dynamic Correlation Matrix
mcAleer, Michael - 2017
conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … moving average process raises three important issues, as follows: (i) demonstrates that DCC is, in fact, a dynamic …
Persistent link: https://www.econbiz.de/10011819475
Saved in:
Cover Image
Stationarity and invertibility of a dynamic correlation matrix
McAleer, Michael - 2017 - Revised: September 2017
conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … moving average process raises three important issues, as follows: (i) demonstrates that DCC is, in fact, a dynamic …
Persistent link: https://www.econbiz.de/10011715983
Saved in:
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10010491317
Saved in:
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian Matthias; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2014
) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks rather than a dynamic conditional …
Persistent link: https://www.econbiz.de/10011162549
Saved in:
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Tinbergen Instituut - 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10011257506
Saved in:
Cover Image
A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
three important issues: (i) demonstrates that DCC is, in fact, a dynamic conditional covariance model of the returns shocks …
Persistent link: https://www.econbiz.de/10010374571
Saved in:
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