Jeroen V.K. ROMBOUTS, Lars STENTOFT, Francesco VIOLANTE
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We provide conditions for the existence and the uniqueness of strictly stationary solutions ofthe usual Dynamic Conditional Correlation GARCH models (DCC-GARCH). The proof is based on Tweedie's (1988) criteria, after having rewritten DCC-GARCH models as nonlinear Markov chains. We also study the existence of their oments and discuss the tightness of our sufficient conditions.
Jean-David FERMANIAN, Hassan MALONGO ELOUAÏ