A Multivariate Threshold Varying Conditional Correlations Model
AbstractIn this article, a multivariate threshold varying conditional correlation (TVCC) model is proposed. The model extends the idea of Engle (2002) and Tse and Tsui (2002) to a threshold framework. This model retains the interpretation of the univariate threshold GARCH model and allows for dynamic conditional correlations. Techniques of model identification, estimation, and model checking are developed. Some simulation results are reported on the finite sample distribution of the maximum likelihood estimate of the TVCC model. Real examples demonstrate the asymmetric behavior of the mean and the variance in financial time series and the ability of the TVCC model to capture these phenomena.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 29 (2010)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.tandfonline.com/LECR20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Aslanidis, Nektarios & MartÃnez IbÃ¡Ã±ez, Ã“scar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.