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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

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/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 ...