Range-based multivariate volatility model with double smooth transition in conditional correlation

This paper proposes a multivariate model named Double Smooth Transition Conditional Correlation Conditional Autoregressive Range (DSTCC-CARR for short). Determined by two transition variables, the correlations smoothly transit from one state to another. Together with the DSTCC-GARCH model, the model...

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Bibliographic details
Volume: 20
Main Author: Chou, Ray Yeutien
Cai, Yijie
Format: Journal Article
Language: English
Place of publication: Greenwich Elsevier Inc 2009
Elsevier
Elsevier Science Ltd
published in: Global finance journal Vol. 20; no. 2; pp. 137 - 152
Data of publication: 2009
ISSN: 1044-0283
1873-5665
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Subjects:
C52
C32
C12
G15
C51
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
CrossRef
ProQuest One Business
ProQuest One Business (Alumni)
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