Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model
Year of publication: |
2007-02-01
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Authors: | Silvennoinen, Annastiina ; Teräsvirta, Timo |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | Multivariate GARCH | Constant conditional correlation | Dynamic conditional correlation | Return comovement | Variable correlation GARCH model | Volatility model evaluation |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Financial Econometrics, 2009, pages 373-411. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 0652 28 pages |
Classification: | C12 - Hypothesis Testing ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General |
Source: |
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Silvennoinen, Annastiina, (2005)
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Silvennoinen, Annastiina, (2008)
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Silvennoinen, Annastiina, (2005)
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Silvennoinen, Annastiina, (2007)
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Silvennoinen, Annastiina, (2005)
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Statistical Properties of the Asymmetric Power ARCH Process
He, Changli, (1997)
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