A multivariate threshold varying conditional correlations model
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Cites work
- scientific article; zbMATH DE number 3700075 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- A Tukey nonadditivity-type test for time series nonlinearity
- A floor and ceiling model of US output
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- ARCH models and financial applications
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
- Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- Generalized autoregressive conditional heteroscedasticity
- ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
- On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
- Regime switching for dynamic correlations
- Residual‐based diagnostics for conditional heteroscedasticity models
- Testing and Modeling Multivariate Threshold Models
- Testing and Modeling Threshold Autoregressive Processes
- Vector linear time series models
Cited in
(8)- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- A multivariate threshold stochastic volatility model
- A general multivariate threshold GARCH model with dynamic conditional correlations
- Modeling conditional correlations of asset returns: a smooth transition approach
- Testing for nonlinearity in conditional covariances
- Dynamic conditional correlations for asymmetric processes
- Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
- Modelling financial time series with threshold nonlinearity in returns and trading volume
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