smooth transition conditional correlation
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Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbp013 ◽

2009 ◽

Vol 7 (4) ◽

pp. 373-411 ◽

Cited By ~ 69

Author(s):

A. Silvennoinen ◽

T. Terasvirta

Keyword(s):

Garch Model ◽

Smooth Transition ◽

Conditional Heteroskedasticity ◽

Conditional Correlation ◽

Autoregressive Conditional Heteroskedasticity ◽

Smooth Transition Conditional Correlation ◽

Multivariate Autoregressive

Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.1148137 ◽

2008 ◽

Cited By ~ 28

Author(s):

Annastiina Silvennoinen ◽

Timo Terasvirta

Keyword(s):

Garch Model ◽

Smooth Transition ◽

Conditional Heteroskedasticity ◽

Conditional Correlation ◽

Autoregressive Conditional Heteroskedasticity ◽

Smooth Transition Conditional Correlation ◽

Multivariate Autoregressive