What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model

What They Did Not Tell You about Algebraic (Non-) Existence, Mathematical (IR-)Regularity, and (Non-) Asymptotic Properties of the Dynamic Conditional Correlation (DCC) Model

In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and cor...

Full description

Bibliographic Details
Main Author: Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2019-04-01
Series:Journal of Risk and Financial Management
Subjects:
hedging
covariances
correlations
existence
mathematical regularity
invertibility
likelihood function
statistical asymptotic properties
caveats
practical implementation
Online Access:https://www.mdpi.com/1911-8074/12/2/61

Internet

https://www.mdpi.com/1911-8074/12/2/61

Similar Items