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dc.contributor.authorZakoïan, Jean-Michel
dc.date.accessioned2011-01-24T08:58:06Z
dc.date.available2011-01-24T08:58:06Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5529
dc.language.isoenen
dc.subjectDynamic conditional correlationen
dc.subjectExistence of nonexplosive solutionsen
dc.subjectMulti-variate GARCHen
dc.subjectNonstationary processesen
dc.subjectTime-varying modelsen
dc.subject.ddc519en
dc.subject.classificationjelG1en
dc.titleA class of DCC asymmetric GARCH models driven by exogenous variablesen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of second-order moments of these solutions. Potential applications concern the modeling of the volatility of a vector of energy prices, the model coefficients depending on the weather conditions.en
dc.publisher.nameUniversité Paris-Dauphineen
dc.publisher.cityParisen
dc.identifier.citationpages18en
dc.relation.ispartofseriestitleCahiers de la Chaire Finance et Développement Durableen
dc.relation.ispartofseriesnumber39en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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