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...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2014
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| Texto completo: | http://hdl.handle.net/1822/27840 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/27840 |