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

zbMATH Keywords

multivariate GARCHdynamic conditional correlationconstant conditional correlationreturn comovementvariable correlation GARCH modelvolatility model evaluation

Mathematics Subject Classification ID

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)

Functional time series approach to analyzing asset returns co-movements ⋮ Nonlinearities and regimes in conditional correlations with different dynamics ⋮ Financial development, political instability, trade openness and growth in Brazil: evidence from a new dataset, 1890--2003 ⋮ Testing for nonlinearity in conditional covariances ⋮ Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model ⋮ Adding flexibility to Markov Switching models ⋮ A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

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
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
• The Distribution of Realized Exchange Rate Volatility
• Non‐linear GARCH models for highly persistent volatility

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