Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

In this article, we investigate the effects of careful modeling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end, we allow the individual unconditional variances in conditional correlation generalized autoregressive conditional h...

Full description

Bibliographic Details
Main Author: Amado, Cristina (author)
Other Authors: Teräsvirta, Timo (author)
Format: article
Language:eng
Published: 2014
Subjects:
Forecasting
Multivariate GARCH model
Nonlinear time series
Portfolio allocation
Time-varying unconditional variance
Social Sciences
Science & Technology
Online Access:http://hdl.handle.net/1822/27840
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/27840

Internet

http://hdl.handle.net/1822/27840

Similar Items