Asymmetric conditional correlations in stock returns

DOI10.1214/16-AOAS924zbMATH Open1400.62236MaRDI QIDQ312957FDOQ312957

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

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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)

Cites Work

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

Cited In (8)

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

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