Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometric Reviews 34 (2015) 1-2, pp. 174-197
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is...