Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach

By Annastiina Silvennoinen, Timo Teräsvirta. 2015

51 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9f97b4994d2df735513c91f9c327509d62c86185

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

1. Esther Ruiz
2. Luiz Koodi Hotta
3. D. Almeida

In Finance

1. Esther Ruiz
2. Luiz Koodi Hotta
3. D. Almeida

In Management Science and Operations Research

1. Esther Ruiz
2. Luiz Koodi Hotta
3. D. Almeida

Citations in the corpus

• MGARCH models: Trade-off between feasibility and flexibility (2018, background): “Also, Silvennoinen and Teräsvirta (2009b, 2015) propose the smooth transition conditional correlation (STCC) model allowing the correlations to vary smoothly between two different states.”