On the stationarity of Dynamic Conditional Correlation models
  We provide conditions for the existence and the unicity of strictly stationary solutions of the 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. Moreover, we study the existence of their finite moments. 
Jean-David Fermanian, Hassan Malongo
q-fin.MF math.ST stat.TH