Nonlinearities and regimes in conditional correlations with different dynamics

DOI10.1016/J.JECONOM.2019.12.014MaRDI QIDQ2190236zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dynamic conditional correlationsHadamard exponential matrixregime-switching dynamic correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 6125590 (Why is no real title available?)
• Analysis of time series subject to changes in regime
• Estimation and empirical performance of non-scalar dynamic conditional correlation models
• Hadamard inverses, square roots and products of almost semidefinite matrices
• Identifying financial time series with similar dynamic conditional correlation
• Modeling conditional correlations of asset returns: a smooth transition approach
• Multinomial Probabilities, Permanents and a Conjecture of Karlin and Rinott
• Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
• Regime switching for dynamic correlations
• Robust estimation and outlier detection with correlation coefficients
• Transformation of non positive semidefinite correlation matrices

Cited in

(9)

• Bayesian Nonparametric Panel Markov-Switching GARCH Models
• Semi-parametric modelling of correlation dynamics
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• Regime switching for dynamic correlations
• A component model for dynamic correlations
• Long and short-run dynamics in realized covariance matrices: a robust MIDAS approach
• 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?
• Editorial: Nonlinear financial econometrics JoE special issue introduction

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