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14-087/III - A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process


  • Authors
    Christian M. Hafner, Université Catholique de Louvain, Belgium; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrd, Spain
  • Publication date
    July 11, 2014
  • Keywords
    Dynamic conditional correlation, dynamic conditional covariance, vector random coefficient moving average, stationarity, invertibility, asymptotic properties
  • JEL
    C22, C52, C58, G32