Testing Constancy of Correlation and Other Specifications of the BGARCH Model with an Application to International Equity Returns
By Anil K. Bera, Sang-whan Kim. 2002
135 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/2426a3df54142e00c3b43d2f5b155ea324d314b4
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michael Rockinger
- Eric Jondeau
- Annastiina Silvennoinen
- Timo Teräsvirta
- Andrew J. Patton
- Luiz Koodi Hotta
- Cristina Amado
- Esther Ruiz
In Finance
- Timo Teräsvirta
- Michael Rockinger
- Eric Jondeau
- Annastiina Silvennoinen
- Andrew J. Patton
- Luiz Koodi Hotta
- Eric Zivot
- Cristina Amado
Citations in the corpus
- Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance (2017, unknown): “For instance, Longin and Solnik (1995), Bera and Kim (2002) , and Forbes and Rigobon (2002) show that correlations among financial assets increase during economic crises and times of financial distress.”
- The Copula-GARCH model of conditional dependencies: An international stock market application (2006, background): “On one hand, Bera and Kim (2002) found that for most market pairs, the hypothesis of a constant conditional correlation should be strongly rejected.”
- Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model (2009, unknown): “Tse (2000), Bera and Kim (2002), Engle and Sheppard (2001), and Silvennoinen and Teräsvirta (2005) have proposed tests for this purpose.”
- Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005, background): “Tse (2000), Bera and Kim (2002), and Engle and Sheppard (2001) already proposed tests for this purpose.”
- Multivariate GARCH models (2008, background): “Bera and Kim (2002) present a test of a bivariate CCC–GARCH model against the alternative that the correlation coefficient is stochastic.”
- Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach (2015, background): “Tse (2000), Bera and Kim (2002), and Engle and Sheppard (2001) already proposed tests for this purpose.”