17-082/III - Stationarity and Invertibility of a Dynamic Correlation Matrix

• Author
  Michael mcAleer, National Tsing Hua University, Taiwan; University of Sydney Business School, Australia; Erasmus University Rotterdam, The Netherlands
• Publication date
  September 6, 2017

• Keywords
  Dynamic conditional correlation, dynamic conditional covariance, vector random coefficient moving average, stationarity, invertibility, asymptotic properties.
• JEL
  C22, C52, C58, G32