Abstracts
Asymptotic Theory of Dynamic Conditional Correlation Models
Jean-David Fermanian (Ensae-Crest, France)
Wednesday June 4, 16:30-17:00 | session 6.9 | Econometrics | room H
We study the asymptotic theory of Engle's (2002) Dynamic Conditional Correlation model (DCC). Applying the theory of Markov chains (Tweedie's criterion, 1988), we prove the existence of strictly stationary solutions. Sufficient conditions for their unicity are provided. We prove also the almost sure convergence and the asymptotic normality of the Gaussian Quasi-Maximum Likelihood parameter estimates.