Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
DOI10.1080/07474938.2014.945336zbMath1491.62261OpenAlexW2136020591MaRDI QIDQ5080532
Annastiina Silvennoinen, Timo Teräsvirta
Publication date: 31 May 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2014.945336
multivariate GARCHdynamic conditional correlationconstant conditional correlationreturn comovementvariable correlation GARCH modelvolatility model evaluation
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Related Items (7)
Cites Work
- Regime switching for dynamic correlations
- A test for constant correlations in a multivariate GARCH model
- Stability of nonlinear AR-GARCH models
- Multivariate GARCH Models
- Testing linearity against smooth transition autoregressive models
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- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- The Distribution of Realized Exchange Rate Volatility
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