Search Results - subject:"Smooth transition copula"

Okimoto, Tatsuyoshi - 2014

Persistent link: https://www.econbiz.de/10011341996

Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic Modelling 45 (2015) C, pp. 223-235

volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements …

Persistent link: https://www.econbiz.de/10011190216

Anderson, Randy I.; Chen, Yi-Chi; Wang, Li-Min - In: Economic modelling 45 (2015), pp. 223-235

Persistent link: https://www.econbiz.de/10011334089

Chiang, Min-Hsien; Wang, Li-Min - In: Journal of Econometrics 165 (2011) 2, pp. 175-189

transition in the range process. Additionally, a smooth transition copula function is employed to detect the volatility contagion …

Persistent link: https://www.econbiz.de/10010574078