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~institution:"Finance Discipline Group, Business School"
~language:"und"
~person:"Teräsvirta, Timo"
~subject:"dynamic conditional correlation"
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dynamic conditional correlation
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constant conditional correlation
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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
Finance Discipline Group, Business School
-
2005
In this paper we propose a new multivariate
GARCH
model with time-varying conditional correlation structure. The …
Persistent link: https://www.econbiz.de/10004980459
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