Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations

By Annastiina Silvennoinen, Timo Teräsvirta. 2005

107 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ba7449f60e6f7559456c91d5419242f916fced12

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Citations in the corpus

• Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations (2014, background): “In the model of Tse and Tsui (2002), Qt has a definition that is slightly different from (12).”
• Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model (2009, unknown): “Note also that when G1t ≡ 0 so that the correlations are constant under the null hypothesis, the test collapses into the correlation constancy test in Silvennoinen and Teräsvirta (2005). Details of the linearization and the transformed dynamic correlations in (12) can be found in the Appendix.”
• Semi-Parametric Modelling of Correlation Dynamics (2005, methodology): “Silvennoinen and Teräsvirta (2005) develop an LM-type test 7 for the constancy of the correlation matrix against the STCC-alternative, which also can be used as a guiding tool in the choice of the appropriate transition variable xt.”
• Financialization, Crisis and Commodity Correlation Dynamics (2013, methodology): “Financialization and macroeconomic commodity price drivers are likely to change volatility and correlation gradually, so we model dynamics using Double Smooth Transition Conditional Correlation models (DSTCC GARCH) (Silvennoinen and Teräsvirta 2005, 2009).”
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (2009, methodology): “…the regime switching dynamic conditional correlation model of Pelletier (2006), the smooth transition conditional correlation (STCC) model by Silvennoinen and Teräsvirta (2005), and the asymmetric dynamic conditional correlation model by Cappiello, Engle, and Sheppard (2003), where…”
• Multivariate GARCH models (2008, unknown): “As discussed in Section 2.3, Silvennoinen and Teräsvirta (2005) extend the CCC–GARCH into a STCC–GARCH model in which the correlations fluctuate according to a transition variable .”