Semi-Parametric Modelling of Correlation Dynamics

By Christian M. Hafner, Dick Van Dijk, Philip Hans Franses. 2005

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3652deb783c2322a4b2b92ede2b936220bd8a053

Citations in the corpus

• Multivariate GARCH models (2008, unknown): “Long and Ullah (2005) consider the choice of an optimal fixed bandwidth, whereas Hafner, van Dijk, and Franses (2005) discuss a way of choosing a dynamic bandwidth parameter such that the bandwidth is larger in the tails of the marginal distribution of the conditioning variable s t than it is in…”