Stationarity and Invertibility of a Dynamic Correlation Matrix
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- McAleer, M.J., 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Econometric Institute Research Papers TI 2017-082/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
References listed on IDEAS
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- Asai, Manabu & Chang, Chia-Lin & McAleer, Michael & Pauwels, Laurent, 2019. "Asymptotic Theory for Rotated Multivariate GARCH Models," Working Papers BAWP-2019-03, University of Sydney Business School, Discipline of Business Analytics.
- Manabu Asai & Chia-Lin Chang & Michael McAleer & Laurent Pauwels, 2018. "Asymptotic Theory for Rotated Multivariate GARCH Models," Documentos de Trabajo del ICAE 2018-27, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Jung-Bin Su & Jui-Cheng Hung, 2018. "The Value-At-Risk Estimate of Stock and Currency-Stock Portfolios’ Returns," Risks, MDPI, vol. 6(4), pages 1-42, November.
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More about this item
Keywords
Dynamic conditional correlation; dynamic conditional covariance; vector random coefficient moving average; stationarity; invertibility; asymptotic properties.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-09-17 (Econometrics)
- NEP-ETS-2017-09-17 (Econometric Time Series)
- NEP-ORE-2017-09-17 (Operations Research)
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