This paper has been announced in the following NEP Reports:

• NEP-ALL-2007-02-10 (All new papers)
• NEP-ECM-2007-02-10 (Econometrics)
• NEP-ETS-2007-02-10 (Econometric Time Series)

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    • Silvennoinen, Annastiina & Teräsvirta, Timo, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Working Paper Series in Economics and Finance 577, Stockholm School of Economics, revised 01 Oct 2005. [Downloadable!]
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1. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany. [Downloadable!]