On the stationarity of Dynamic Conditional Correlation models

Autor:	Fermanian, Jean-David, Malongo, Hassan
Rok vydání:	2014
Předmět:	Quantitative Finance - Mathematical Finance Mathematics - Statistics Theory 60G10 62F12
Druh dokumentu:	Working Paper
Popis:	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. Comment: Revised version: correction of typos, reduction of the number of figures, etc
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1405.6905 Zobrazit plný text záznamu View this record from Arxiv