Narrow search
Showing 1 - 2 of 2
Cover Image
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the full BEKK dynamic conditional covariance model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-7
, Kraft and Kroner. Dynamic models are not straightforward (or even possible) to translate in terms of the algebraic existence …
Persistent link: https://www.econbiz.de/10012611132
Cover Image
What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-9
models are not straightforward (or even possible) to translate in terms of the algebraic existence, underlying stochastic …
Persistent link: https://www.econbiz.de/10012611137