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Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki (contributor); … - 2007

In this article, we derive a set of necessary and sufficient conditions for positivity of the vector conditional variance equation in multivariate GARCH models with explicit modelling of conditional correlation. These models include the constant conditional correlation GARCH model of Bollerslev...

Persistent link: https://www.econbiz.de/10003576679

Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Nakatani, Tomoaki; Teräsvirta, Timo - In: Finance research letters 5 (2008) 2, pp. 88-95

Persistent link: https://www.econbiz.de/10003751298

Testing the adequacy of smooth transition autoregressive models

Eitrheim, Øyvind; Teräsvirta, Timo - 1993

Persistent link: https://www.econbiz.de/10000882121

Modelling nonlinearity in US gross national product 1889 - 1987

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Teräsvirta, Timo - 1993

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