On the Stationarity of Dynamic Conditional Correlation Models

Jean-David Fermanian () and Hassan Malongo ()
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Jean-David Fermanian: CREST (ENSAE)
Hassan Malongo: Amundi et université Paris-Dauphine

No 2013-26, Working Papers from Center for Research in Economics and Statistics

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

Keywords: Multivariate dynamic models; conditional correlations; stationarity; DCC (search for similar items in EconPapers)
Pages: 34
Date: 2013-09
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Citations: View citations in EconPapers (1)

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