Silvennoinen, Annastiina; Terasvirta, Timo - 2009
In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation (STCC) GARCH model of Silvennoinen and Ter?svirta (2005)...
