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Citations for "Regime Switching for Dynamic Correlations"

by Denis Pelletier

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  1. Hafner, Christian M. & Linton, Oliver, 2010. "Efficient estimation of a multivariate multiplicative volatility model," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 55-73, November.
  2. 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.
  3. Dudek, Jérémy, 2013. "Illiquidité, contagion et risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, Paris Dauphine University, number 123456789/13236 edited by Le Fol, Gaëlle.
  4. BAUWENS, Luc & otranto, EDOARDO, 2013. "Modeling the dependence of conditional correlations on volatility," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2013014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Immanuel Seidl, 2012. "Markowitz versus Regime Switching: An Empirical Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 033-043, June.
  6. Aslanidis, Nektarios & Casas, Isabel, 2013. "Nonparametric correlation models for portfolio allocation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2268-2283.
  7. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany.
  8. Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
  9. Dick van Dijk & Haris Munandar & Christian Hafner, 2011. "The euro introduction and noneuro currencies," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 21(1-2), pages 95-116.
  10. repec:dgr:uvatin:2005044 is not listed on IDEAS
  11. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of 136, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  12. Jean-David Fermanian & Hassan Malongo, 2014. "On the stationarity of Dynamic Conditional Correlation models," Papers 1405.6905, arXiv.org.
  13. Joshua C.C. Chan & Cody Yu-Ling Hsiao & Renée A. Fry-McKibbin, 2013. "A Regime Switching Skew-normal Model for Measuring Financial Crisis and Contagion," CAMA Working Papers 2013-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  14. Kosater, Peter, 2006. "Cross-city hedging with weather derivatives using bivariate DCC GARCH models," Discussion Papers in Statistics and Econometrics 2/06, University of Cologne, Department for Economic and Social Statistics.
  15. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 22875, London School of Economics and Political Science, LSE Library.
  16. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(8), pages 1954-1970, August.
  17. Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
  18. Annastiina Silvennoinen & Timo Teräsvirta, 2009. "Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 7(4), pages 373-411, Fall.
  19. BAUWENS, Luc & HAFNER, Christian & ROMBOUTS, Jeroen, 2006. "Multivariate mixed normal conditional heteroskedasticity," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  20. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  21. Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, School of Economics and Management, University of Aarhus.
  22. Paul Catani & Timo Teräsvirta & Meiqun Yin, 2014. "A Lagrange Multiplier Test for Testing the Adequacy of the Constant Conditional Correlation GARCH Model," CREATES Research Papers 2014-03, School of Economics and Management, University of Aarhus.
  23. Vázquez Pérez, Jesús, 2008. "The Comovement between Monetary and Fiscal Policy Instruments during the Post-War Period in the U.S," DFAEII Working Papers 2008-.06, University of the Basque Country - Department of Foundations of Economic Analysis II.
  24. Kenourgios, Dimitris & Padhi, Puja, 2012. "Emerging markets and financial crises: Regional, global or isolated shocks?," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 22(1), pages 24-38.
  25. Sadefo Kamdem, J. & Genz, A., 2008. "Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 52(7), pages 3389-3407, March.
  26. Aslanidis, Nektarios & Osborn, Denise R. & Sensier, Marianne, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations," Working Papers 2072/8950, Universitat Rovira i Virgili, Department of Economics.
  27. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2008. "Co-movements between US and UK stock prices: the roles of macroeconomic information and time-varying conditional correlations," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 96, Economics, The Univeristy of Manchester.
  28. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
  29. Nektarios Aslanidis & Denise R. Osborn & Marianne Sensier, 2010. "Co-movements between US and UK stock prices: the role of time-varying conditional correlations," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(4), pages 366-380.
  30. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 267, Quantitative Finance Research Centre, University of Technology, Sydney.
  31. Chollete, Loran & Heinen, Andreas & Valdesogo, Alfonso, 2008. "Modeling International Financial Returns with a Multivariate Regime Switching Copula," MPRA Paper 8114, University Library of Munich, Germany.
  32. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.
  33. repec:dgr:uvatin:2011002 is not listed on IDEAS
  34. Chou, Ray Yeutien & Cai, Yijie, 2009. "Range-based multivariate volatility model with double smooth transition in conditional correlation," Global Finance Journal, Elsevier, vol. 20(2), pages 137-152.
  35. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
  36. M. Angeles Carnero Fernández & M. Hakan Eratalay, 2012. "Estimating VAR-MGARCH models in multiple steps," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2012-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  37. Stöber, Jakob & Czado, Claudia, 2014. "Regime switches in the dependence structure of multidimensional financial data," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 672-686.
  38. Otranto, Edoardo, 2010. "Identifying financial time series with similar dynamic conditional correlation," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(1), pages 1-15, January.
  39. Luc Bauwens & Christian M. Hafner & Diane Pierret, 2011. "Multivariate Volatility Modeling of Electricity Futures," SFB 649 Discussion Papers SFB649DP2011-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  40. Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
  41. Peter Christoffersen & Hugues Langlois, 2011. "The Joint Dynamics of Equity Market Factors," CREATES Research Papers 2011-45, School of Economics and Management, University of Aarhus.
  42. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers, York University, Department of Economics 2005_2, York University, Department of Economics.
  43. Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, Elsevier, vol. 7(2), pages 86-97, June.
  44. Roberto Casarin & Domenico sartore, 2008. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers, University of Brescia, Department of Economics 0816, University of Brescia, Department of Economics.
  45. Serra, Teresa & Gil, Jose Maria, 2012. "Price volatility in food markets: can stock building mitigate price fluctuations?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil, International Association of Agricultural Economists 126055, International Association of Agricultural Economists.
  46. Nektarios Aslanidis & Isabel Casas, 2010. "Modelling asset correlations during the recent FInancial crisis: A semiparametric approach," CREATES Research Papers 2010-71, School of Economics and Management, University of Aarhus.
  47. Harris, Richard D.F. & Mazibas, Murat, 2010. "Dynamic hedge fund portfolio construction," International Review of Financial Analysis, Elsevier, Elsevier, vol. 19(5), pages 351-357, December.
  48. Serra, Teresa, 2011. "Volatility Spillovers between Food and Energy Markets, A Semiparametric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 115997, European Association of Agricultural Economists.
  49. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.
  50. Runquan Chen, 2009. "Regime switching in volatilities and correlation between stock and bond markets," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 29306, London School of Economics and Political Science, LSE Library.
  51. Maria Kasch & Massimiliano Caporin, 2013. "Volatility Threshold Dynamic Conditional Correlations: An International Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(4), pages 706-742, September.
  52. Monica Billio & Massimiliano Caporin, 2007. "Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion," Working Papers 2007_18, Department of Economics, University of Venice "Ca' Foscari".
  53. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, Springer, vol. 8(1), pages 49-74, February.
  54. Rotta, Pedro Nielsen & Pereira, Pedro Luiz Valls, 2013. "Analysis of contagion from the constant conditional correlation model with Markov regime switching," Textos para discussão 340, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  55. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  56. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, . "Multivariate GARCH models: a survey," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  57. Francisco Blasques, 2013. "Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Model," Tinbergen Institute Discussion Papers 13-097/IV, Tinbergen Institute.
  58. Audrino, Francesco, 2006. "The impact of general non-parametric volatility functions in multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 50(11), pages 3032-3052, July.
  59. repec:wyi:journl:002141 is not listed on IDEAS
  60. Chan, Kam Fong & Treepongkaruna, Sirimon & Brooks, Robert & Gray, Stephen, 2011. "Asset market linkages: Evidence from financial, commodity and real estate assets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1415-1426, June.
  61. Renée Fry-McKibbin & Cody Hsiao & Chrismin Tang, 2014. "Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes," Open Economies Review, Springer, Springer, vol. 25(3), pages 521-570, July.
  62. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 392(24), pages 6470-6483.
  63. Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
  64. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 80(2), pages 327-340.
  65. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(1), pages 199-217, January.
  66. Monica Billio & Maddalena Cavicchioli, 2013. "“Markov Switching Models for Volatility: Filtering, Approximation and Duality”," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
  67. Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010, Department of Economics, University of St. Gallen 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
  68. Cordis, Adriana S. & Kirby, Chris, 2011. "Regime-switching factor models in which the number of factors defines the regime," Economics Letters, Elsevier, Elsevier, vol. 112(2), pages 198-201, August.
  69. Audrino, Francesco, 2014. "Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 43-60.
  70. Jin, Xin & Maheu, John M, 2014. "Modeling Covariance Breakdowns in Multivariate GARCH," MPRA Paper 55243, University Library of Munich, Germany.
  71. Donatien Hainaut & Renaud MacGilchrist, 2012. "Strategic asset allocation with switching dependence," Annals of Finance, Springer, Springer, vol. 8(1), pages 75-96, February.
  72. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 26(C), pages 339-354.
  73. repec:dgr:uvatin:2007025 is not listed on IDEAS
  74. Vázquez, Jesús, 2008. "The comovement between monetary and fiscal policy instruments during the post-war period in the U.S," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(3), pages 412-424.
  75. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg, 2014. "Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity," CREATES Research Papers 2014-05, School of Economics and Management, University of Aarhus.
  76. Tejeda, Hernan A., 2012. "Time-Varying Price Interactions and Risk Management in Livestock Feed Markets – Determining the Ethanol Surge Effect," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association 124956, Agricultural and Applied Economics Association.
  77. Kuan-Min Wang & Hung-Cheng Lai, 2013. "Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 473-497, June.
  78. Tejeda, Hernan A. & Goodwin, Barry K. & Pelletier, Denis, 2009. "A State Dependent Regime Switching Model of Dynamic Correlations," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin, Agricultural and Applied Economics Association 49370, Agricultural and Applied Economics Association.
  79. Manner, Hans & Reznikova, Olga, 2010. "Forecasting international stock market correlations: does anything beat a CCC?," Discussion Papers in Statistics and Econometrics 7/10, University of Cologne, Department for Economic and Social Statistics.