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