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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Finance Discipline Group, Business School - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The …
Persistent link: https://www.econbiz.de/10004980459
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Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new … Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH … against the DSTCC–GARCH model, and another one to test for another transition in the STCC–GARCH framework. In addition, other …
Persistent link: https://www.econbiz.de/10005114133
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Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new … Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH … against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition, other …
Persistent link: https://www.econbiz.de/10005056490
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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 …
Persistent link: https://www.econbiz.de/10010281337
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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The …
Persistent link: https://www.econbiz.de/10005649338
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Modeling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric reviews 34 (2015) 1/5, pp. 174-197
Persistent link: https://www.econbiz.de/10011373298
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010985133
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010331352
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models …
Persistent link: https://www.econbiz.de/10010237661
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
employed in a bivariate GARCH model, where the joint distribution of the disturbances is split into its marginals and its …-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …
Persistent link: https://www.econbiz.de/10009725481