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Common factors in conditional distributions

Granger, C. W. J. (contributor); … - 2002 - [Elektronische Ressource]

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

Persistent link: https://www.econbiz.de/10001714617

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...

Persistent link: https://www.econbiz.de/10001693105

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki (contributor); … - 2007

variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the … constant conditional correlation GARCH model of Bollerslev (1990) and its extensions. Under the new conditions, it is possible … conditions in practice. -- Multivariate GARCH ; positivity constraints ; conditional correlation …

Persistent link: https://www.econbiz.de/10003576679

Common Factors in Conditional Distributions for Bivariate Time Series

Granger, Clive W. J.; Teräsvirta, Timo; Patton, Andrew J. - 2004

A definition for a common factor for bivariate time series is suggested by considering the decomposition of the conditional density into the product of the marginals and the copula, with the conditioning variable being a common factor if it does not directly enter the copula. We show the links...

Persistent link: https://www.econbiz.de/10014073135

A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model

Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41

GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change …

Persistent link: https://www.econbiz.de/10013459316

Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks

Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37

This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in …

Persistent link: https://www.econbiz.de/10014281494

Modelling nonlinearity in US gross national product : 1889 - 1987

Teräsvirta, Timo - In: Empirical economics : a journal of the Institute for … 20 (1995) 4, pp. 577-597

Persistent link: https://www.econbiz.de/10001194986

Comprehensive testing of linearity against the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - 2019 - This version: August 2019

Persistent link: https://www.econbiz.de/10012316842

Comprehensively testing linearity hypothesis using the smooth transition autoregressive model

Seong, Dakyung; Cho, Jin Seo; Teräsvirta, Timo - In: Econometric reviews 41 (2022) 8, pp. 966-984

Persistent link: https://www.econbiz.de/10013364922

Unit roots, nonlinearities and structural breaks

Haldrup, Niels; Kruse, Robinson; Teräsvirta, Timo; … - 2012

Persistent link: https://www.econbiz.de/10009524063