AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE

By Changli He, Timo Teräsvirta. Econometric Theory, 2004

94 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c7853608de066176f9c8fd724a14e1cab2813578

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Citations in the corpus

GARCH Models (2010, unknown): “Hafner (2003) and He and Teräsvirta (2004) studied the fourth-order moments of multivariate GARCH models.”
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011, methodology): “2) is referred to as the Extended CCC model by He and Teräsvirta (2004). In the latter reference, a sufficient condition for second-order and strict stationarity of a CCC-GARCH(1,1) is given. A sufficient condition for strict stationarity and the existence of fourth-order moments of the CCC-GARCH(p,”
MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “The ECCC model is covariance and strictly stationary if the moduli of the eigenvalues of A + B are less than one; see He and Teräsvirta (2004).”
Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations (2005, background): “…model allowing dynamic interactions between the conditional variance equations, which creates a richer and more flexible autocorrelation structure than the one in the standard CCC– GARCH model, was introduced by Jeantheau (1998), and its moment structure was considered by He and Teräsvirta (2004).”
Multivariate GARCH models (2008, unknown): “Jeantheau (1998) considers the statistical properties and estimation theory of the ECCC– GARCH model he proposes. He provides sufficient conditions for the existence of a weakly stationary and ergodic solution, which is also strictly stationary. This is done by assuming Ertr ′ t < ∞. It would be use”
Estimating multivariate volatility models equation by equation (2016, unknown): “(Bollerslev (1990) introduced this model in the case of diagonal matrices Ai and Bj. Ling and McAleer (2003) proved the asymptotic properties of a general version of this model (without any diagonality assumption) which was subsequently called the extended CCC model by He and Teräsvirta (2004).)”