Asymmetric conditional correlations in stock returns

DOI10.1214/16-AOAS924zbMath1400.62236MaRDI QIDQ312957

Patrick W. Saart, Yingcun Xia, Hui Jiang

Publication date: 9 September 2016

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoas/1469199902

zbMATH Keywords

kernel smoothingsemiparametric modelsconditional cross-correlation coefficientreduced rank model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Asymmetric conditional correlations in stock returns ⋮ Functional time series approach to analyzing asset returns co-movements ⋮ A note on the equivalence between the conditional uncorrelation and the independence of random variables

Cites Work

• Regime switching for dynamic correlations
• Asymmetric conditional correlations in stock returns
• Semiparametric comparison of regression curves
• Nonparametric comparison of several regression functions: Exact and asymptotic theory
• Dynamic factor multivariate GARCH model
• A semiparametric model for heterogeneous panel data with fixed effects
• Efficient estimation of conditional variance functions in stochastic regression
• A full-factor multivariate GARCH model
• Principal component models for sparse functional data
• The Distribution of Realized Exchange Rate Volatility
• Selecting the Number of Principal Components in Functional Data
• Determining the Number of Factors in Approximate Factor Models

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