Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
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 …