ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS

B-Tier
Journal: Econometric Theory
Year: 2017
Volume: 33
Issue: 3
Pages: 636-663

Authors (2)

Fermanian, Jean-David (Centre de Recherche en Économi...) Malongo, Hassan (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We provide conditions for the existence and the uniqueness 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. We also study the existence of their moments and discuss the tightness of our sufficient conditions.

Technical Details

RePEc Handle
repec:cup:etheor:v:33:y:2017:i:03:p:636-663_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25