Nonlinearities and regimes in conditional correlations with different dynamics
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Publication:2190236
DOI10.1016/j.jeconom.2019.12.014zbMath1456.62180OpenAlexW2801199175MaRDI QIDQ2190236
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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