A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process

Feb 3rd, 2012
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University of Kent, Canterbury and Medway
Course: finance
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The paper was concerned with one of the most widely-used multivariate conditional volatility models, namely the dynamic conditional correlation (or DCC) specification. As the underlying stochastic process to derive DCC has not yet been established, this has made problematic the derivation of the asymptotic properties of the Quasi-Maximum Likelihood Estimators (QMLE). To date, the statistical properties of the QMLE of the DCC parameters have been derived under highly restrictive and unverifiable regularity conditions.

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