Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns

DOI10.1016/S0377-2217(01)00361-7zbMath1159.91461OpenAlexW2011333818MaRDI QIDQ1604080

R. Smith

Publication date: 3 July 2002

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(01)00361-7

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (12)

Hedge fund systemic risk signals ⋮ Efficient factor GARCH models and factor-DCC models ⋮ A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics ⋮ Common volatility and correlation clustering in asset returns ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions? ⋮ Forecasting the volatility of crude oil futures using intraday data ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions ⋮ Multivariate Stochastic Volatility: A Review ⋮ Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison ⋮ Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The Price Variability-Volume Relationship on Speculative Markets
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Volatility and Links between National Stock Markets
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices
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