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~person:"Corsetti, Giancarlo"
~person:"Gupta, Sonali Sen"
~person:"Silvennoinen, Annastiina"
~subject:"ARCH model"
~type_genre:"Working Paper"
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Corsetti, Giancarlo
Gupta, Sonali Sen
Silvennoinen, Annastiina
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
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2022
Persistent link: https://www.econbiz.de/10012816369
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2
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
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2021
Persistent link: https://www.econbiz.de/10012815962
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Models with multiplicative decomposition of conditional variances and correlations
Amado, Cristina
;
Silvennoinen, Annastiina
;
Teräsvirta, Timo
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2018
Persistent link: https://www.econbiz.de/10011864902
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4
Crude oil and agricultural futures : an analysis of correlation dynamics
Silvennoinen, Annastiina
;
Thorp, Susan
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2015
Persistent link: https://www.econbiz.de/10011777147
Saved in:
5
Modelling conditional correlations of asset returns : a smooth transition approach
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2012
Persistent link: https://www.econbiz.de/10009502490
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