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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model

Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021

Persistent link: https://www.econbiz.de/10012815962

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 this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...

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

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

Persistent link: https://www.econbiz.de/10010281337

Special issue on nonlinear modeling of multivariate macroeconomic relations

Franses, Philip Hans (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001625147

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

Persistent link: https://www.econbiz.de/10002570445

Thresholds and smooth transitions in vector autoregressive models

Hubrich, Kirstin; Teräsvirta, Timo - In: VAR models in macroeconomics - new developments and …, (pp. 273-326). 2013

Persistent link: https://www.econbiz.de/10010252324

Thresholds and smooth transitions in vector autoregressive models

Hubrich, Kirstin; Teräsvirta, Timo - 2013

Persistent link: https://www.econbiz.de/10009751844

Modelling nonlinear economic time series

Teräsvirta, Timo; Tjostheim, Dag; Granger, C. W. J. - 2010

Modelling Nonlinear Economic Time Series by Timo Terasvirta, Dag Tj0stheim, and Clive W. J. Granger OXFORD UNIVERSITY PRESS Contents List of Figures ...

Persistent link: https://www.econbiz.de/10008778359

Multivariate GARCH models

Silvennoinen, Annastiina; Teräsvirta, Timo - In: Handbook of financial time series, (pp. 201-229). 2009

Persistent link: https://www.econbiz.de/10003833947

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina; Teräsvirta, Timo - 2005

Persistent link: https://www.econbiz.de/10003253592