Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new … Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH … against the DSTCC–GARCH model, and another one to test for another transition in the STCC–GARCH framework. In addition, other …