Nonlinearities and regimes in conditional correlations with different dynamics
DOI10.1016/J.JECONOM.2019.12.014zbMATH Open1456.62180OpenAlexW2801199175MaRDI QIDQ2190236FDOQ2190236
Authors: Luc Bauwens, Edoardo Otranto 
Publication date: 18 June 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://crenos.unica.it/crenos/sites/default/files/wp-18-03.pdf
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Cites Work
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- Robust estimation and outlier detection with correlation coefficients
- Transformation of non positive semidefinite correlation matrices
- Analysis of time series subject to changes in regime
- Regime switching for dynamic correlations
- Hadamard inverses, square roots and products of almost semidefinite matrices
- Multinomial Probabilities, Permanents and a Conjecture of Karlin and Rinott
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- Identifying financial time series with similar dynamic conditional correlation
- Modeling conditional correlations of asset returns: a smooth transition approach
- Estimation and empirical performance of non-scalar dynamic conditional correlation models
Cited In (9)
- Bayesian Nonparametric Panel Markov-Switching GARCH Models
- Possible origin of the non-linear long-term autocorrelations within the Gaussian regime
- Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?
- Regime switching for dynamic correlations
- Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Semi-parametric modelling of correlation dynamics
- Editorial: Nonlinear financial econometrics JoE special issue introduction
- A component model for dynamic correlations
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