Modeling conditional correlations of asset returns : a smooth transition approach
Annastiina Silvennoinen and Timo Teräsvirta
| Year of publication: |
2015
|
|---|---|
| Authors: | Silvennoinen, Annastiina ; Teräsvirta, Timo |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 34.2015, 1/5, p. 174-197
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| Subject: | Constant conditional correlation | Dynamic conditional correlation | Multivariate GARCH | Return comovement | Variable correlation GARCH model | Volatility model evaluation | ARCH-Modell | ARCH model | Korrelation | Correlation | Volatilität | Volatility | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011373298