Search Results - subject:"Constant conditional correlation"

Optimal portfolio allocation and asset centrality revisited

Olmo, Jose - In: Quantitative finance 21 (2021) 9, pp. 1475-1490

Persistent link: https://www.econbiz.de/10012624148

Return prediction with time varying betas : a research in BIST

Akyatan, Ayca; Çetin, M. Koray - In: International journal of accounting and finance 10 (2020) 1, pp. 64-86

Persistent link: https://www.econbiz.de/10012504722

Real exchange rate returns and real stock price returns in the stock market of Malaysia

Wong, Hock Tsen - In: The Singapore economic review : journal of the Economic … 64 (2019) 5, pp. 1319-1349

Persistent link: https://www.econbiz.de/10012295208

Estimating multivariate GARCH and stochastic correlation models equation by equation

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2014

very general framework. For generalized constant conditional correlation models, and also for some time-varying conditional …

Persistent link: https://www.econbiz.de/10011109646

A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model

Catani, Paul; Teräsvirta, Timo; Yin, Meiqun - School of Economics and Management, University of Aarhus - 2014

A Lagrange multiplier test for testing the parametric structure of a constant conditional correlation generalized …

Persistent link: https://www.econbiz.de/10010851267

Targeting estimation of CCC-Garch models with infinite fourth moments

Pedersen, Rasmus Søndergaard - Økonomisk Institut, Københavns Universitet - 2014

constant conditional correlation GARCH model when the distribution of the data generating process has infinite fourth moments …

Persistent link: https://www.econbiz.de/10010750348

Currency futures market in India : an empirical analysis of market efficiency and volatility

Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84

Persistent link: https://www.econbiz.de/10011974206

Robust parametric tests of constant conditional correlation in a MGARCH model

Shadat, Wasel; Orme, Chris D. - In: Econometric reviews 37 (2018) 6/10, pp. 551-576

Persistent link: https://www.econbiz.de/10012039397

GDP Growth and the Interdependency of Volatility Spillovers

Karunanayake, Indika; Valadkhani, Abbas; O’Brien, Martin - Volkswirtschaftliche Fakultät, … - 2012

This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...

Persistent link: https://www.econbiz.de/10011260048

Modelling conditional correlations of asset returns: A smooth transition approach

Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is...

Persistent link: https://www.econbiz.de/10009652369