On the stationarity of Dynamic Conditional Correlation models

2014/05/27 by Fermanian, Jean-David, Malongo, Hassan · 1 citation
#60G10 #62F12 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1405.6905

Abstract

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.

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• Dynamic Conditional SKEPTIC

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