Asymmetric conditional correlations in stock returns

DOI10.1214/16-AOAS924MaRDI QIDQ312957zbMATHFDO

Authors Patrick W. Saart, Yingcun Xia, Hui Jiang

Publication date 9 September 2016

Published in The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.aoas/1469199902

zbMATH Keywords

kernel smoothingsemiparametric modelsconditional cross-correlation coefficientreduced rank model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) 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

• A full-factor multivariate GARCH model
• A semiparametric model for heterogeneous panel data with fixed effects
• Asymmetric conditional correlations in stock returns
• Determining the Number of Factors in Approximate Factor Models
• Dynamic factor multivariate GARCH model
• Efficient estimation of conditional variance functions in stochastic regression
• Nonparametric comparison of several regression functions: Exact and asymptotic theory
• Principal component models for sparse functional data
• Regime switching for dynamic correlations
• Selecting the number of principal components in functional data
• Semiparametric comparison of regression curves
• The Distribution of Realized Exchange Rate Volatility

Cited in

(8)

• Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
• Correlation structure of extreme stock returns
• A note on the equivalence between the conditional uncorrelation and the independence of random variables
• Conditional correlation in asset return and GARCH intensity model
• Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price
• Asymmetric conditional correlations in stock returns
• Functional time series approach to analyzing asset returns co-movements
• Asymmetries and tails in stock index returns: are their distributions really asymmetric?

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