Hafner, Christian M.; Dijk, Dick van; Franses, Philip Hans - In: Econometric analysis of financial and economic time series, (pp. 59-103). 2006
In this paper we develop a new semi-parametric model for conditional correlations, which combines parametric univariate Generalized Auto Regressive Conditional Heteroskedasticity specifications for the individual conditional volatilities with nonparametric kernel regression for the conditional...
