Silvennoinen, Annastiina; Thorp, Susan - Finance Discipline Group, Business School - 2010
We study bi-variate conditional volatility and correlation dynamics for individual commodity futures and financial assets from May 1990-July 2009 using DSTCC-GARCH (Silvennoinen and Terasvirta 2009). These models allow correlation to vary smoothly between extreme states via transition functions...