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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
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