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On the Stationarity of Dynamic Conditional Correlation Models

Fermanian, Jean-David - 2014

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...

Persistent link: https://www.econbiz.de/10013053425

On the stationarity of dynamic conditional correlation models

Fermanian, Jean-David; Malongo, Hassan - 2013

Persistent link: https://www.econbiz.de/10010342712

Dynamic asset correlations based on vines

Poignard, Benjamin; Fermanian, Jean-David - 2014

Persistent link: https://www.econbiz.de/10010481261

On the link between volatilities, regime switching probabilities and correlation dynamics

Fermanian, Jean-David; Malongo, Hassan - In: Annals of economics and statistics 131 (2018), pp. 1-24

Persistent link: https://www.econbiz.de/10011995894

On the stationarity of dynamic conditional correlation models

Fermanian, Jean-David; Malongo, Hassan - In: Econometric theory 33 (2017) 3, pp. 636-663

Persistent link: https://www.econbiz.de/10011810178

High-dimensional penalized arch processes

Poignard, Benjamin; Fermanian, Jean-David - In: Econometric reviews 40 (2021) 1, pp. 86-107

Persistent link: https://www.econbiz.de/10012483797

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