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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 model of Silvennoinen and Teräsvirta (2005) by including...
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 - Economics Institute for Research (SIR), … - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10005649338
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Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null … hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged … squared innovations and volatility of its own. The alternative hypothesis is an extension of that model in which volatility is …
Persistent link: https://www.econbiz.de/10005423784
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Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models
Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
to introduce negative volatility spillovers in the model. An empirical example illustrates usefulness of having such …
Persistent link: https://www.econbiz.de/10005649124
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Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures
Gredenhoff, Mikael; Karlsson, Sune - Economics Institute for Research (SIR), … - 1997
It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...
Persistent link: https://www.econbiz.de/10005423870
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Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998
In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification...
Persistent link: https://www.econbiz.de/10005423839
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A smooth permanent surge process
González Gómez, Andrés - Economics Institute for Research (SIR), … - 2004
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10005423858
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Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
Amado, Cristina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2008
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...
Persistent link: https://www.econbiz.de/10005423887
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Building neural network models for time series: A statistical approach
Medeiros, Marcelo C.; Teräsvirta, Timo; Rech, Gianluigi - Economics Institute for Research (SIR), … - 2002
This paper is concerned with modelling time series by single hidden-layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units...
Persistent link: https://www.econbiz.de/10005649189
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Time-Varying Smooth Transition Autoregressive Models
Lundbergh, Stefan; Teräsvirta, Timo; van Dijk, Dick - Economics Institute for Research (SIR), … - 2000
Nonlinearity, and regime-switching behavior in particular, and structural change have often been perceived as competing alternatives to linearity. In this paper we propose a model, based on the principle of smooth transition, that allows for regime-switching behavior in conjunction with...
Persistent link: https://www.econbiz.de/10005649404