On the Stationarity of Dynamic Conditional Correlation Models

34 Pages Posted: 28 May 2014

See all articles by Jean-David Fermanian

Jean-David Fermanian

Ensae-Crest

Hassan Malongo

Amundi Asset Management; Université de Paris-Dauphine (Ceremade)

Date Written: May 27, 2014

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

JEL Classification: C32, C50

Suggested Citation

Fermanian, Jean-David and Malongo, Hassan, On the Stationarity of Dynamic Conditional Correlation Models (May 27, 2014). Available at SSRN: https://ssrn.com/abstract=2442261 or http://dx.doi.org/10.2139/ssrn.2442261

Jean-David Fermanian (Contact Author)

Ensae-Crest ( email )

92245 Malakoff Cedex
France
+33141176538 (Phone)
141176538 (Fax)

Hassan Malongo

Amundi Asset Management ( email )

90 Boulevard Pasteur
Paris, 75015
France

Université de Paris-Dauphine (Ceremade) ( email )

Place du Maréchal De Lattre De Tassigny
Paris, 75775
France

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