Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...