Search Results - subject:"Threshold regime-switching models"

Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks

Audrino, Francesco - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 43-60

The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, models allowing the correlation dynamics to be...

Persistent link: https://www.econbiz.de/10010871326

Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks

Audrino, Francesco - School of Economics and Political Science, Universität … - 2011

We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...

Persistent link: https://www.econbiz.de/10009003405