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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Autori principali:	Anthony D. Hall, Annastiina Silvennoinen, Timo Teräsvirta
Natura:	Artigo
Lingua:	Inglês
Pubblicazione:	MDPI AG 2023-02-01
Serie:	Econometrics
Soggetti:	unconditional correlation modelling volatility modelling correlations multivariate autoregressive conditional heteroskedasticity
Accesso online:	https://www.mdpi.com/2225-1146/11/1/5
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