A Multivariate Threshold Varying Conditional Correlations Model
From MaRDI portal
Publication:3404109
DOI10.1080/07474930903327260zbMath1180.62123MaRDI QIDQ3404109
No author found.
Publication date: 5 February 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/82642
62H99: Multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
Related Items
A multivariate threshold stochastic volatility model, Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model, Testing for nonlinearity in conditional covariances
Cites Work
- Unnamed Item
- Unnamed Item
- Regime switching for dynamic correlations
- ARCH models and financial applications
- A floor and ceiling model of US output
- Generalized autoregressive conditional heteroscedasticity
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- A Tukey nonadditivity-type test for time series nonlinearity
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- Vector linear time series models
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- Residual‐based diagnostics for conditional heteroscedasticity models
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
