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动态条件角相关AI 解读

We introduce the concept of angular correlation for estimating the instantaneous correlation matrix with a single multivariate realization. The proposed estimator is generally a positive definite correlation matrix and robust in that for bivariate normal data, the sample angular correlation is equally likely to be above or below the population correlation coefficient. We then generalize the dynamic conditional correlation (DCC) model to the dynamic conditional angular…

关于 GARCH 模型不等式约束的一则说明AI 解读

We consider the parameter restrictions that need to be imposed to ensure that the conditional variance process of a GARCH( p , q ) model remains nonnegative. Previously, Nelson and Cao (1992, Journal of Business ’ Economic Statistics 10, 229–235) provided a set of necessary and sufficient conditions for the aforementioned nonnegativity property for GARCH( p , q ) models with p ≤ 2 and derived a sufficient condition for the general case of GARCH( p , q ) models with p ≥ 3. In…