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commodity futures
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conditional correlation
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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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2
Financialization, Crisis and Commodity Correlation Dynamics
Silvennoinen, Annastiina
;
Thorp, Susan
-
Finance Discipline Group, Business School
-
2010
conditional
correlation
processes from the late 1990s. …
Persistent link: https://www.econbiz.de/10008521821
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