Código QR (código de barras bidimensional)

Building Multivariate Time-Varying Smooth Transition Correlation GARCH Models, with an Application to the Four Largest Australian Banks

This paper proposes a methodology for building Multivariate Time-Varying STCC–GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed exposition...

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Principais autores: Anthony D. Hall, Annastiina Silvennoinen, Timo Teräsvirta
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2023-02-01
Serier:Econometrics
Fag:
unconditional correlation
modelling volatility
modelling correlations
multivariate autoregressive conditional heteroskedasticity
Online adgang:https://www.mdpi.com/2225-1146/11/1/5
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