On the stationarity of Dynamic Conditional Correlation models
Mathematical Finance
2016-03-30 v2 Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.1405.6905,
title = {On the stationarity of Dynamic Conditional Correlation models},
author = {Jean-David Fermanian and Hassan Malongo},
journal= {arXiv preprint arXiv:1405.6905},
year = {2016}
}
Comments
Revised version: correction of typos, reduction of the number of figures, etc