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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
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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
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