Nonlinearities and regimes in conditional correlations with different dynamics

DOI10.1016/j.jeconom.2019.12.014zbMath1456.62180OpenAlexW2801199175MaRDI QIDQ2190236

Edoardo Otranto, Luc Bauwens

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://crenos.unica.it/crenos/sites/default/files/wp-18-03.pdf

zbMATH Keywords

dynamic conditional correlationsHadamard exponential matrixregime-switching dynamic correlations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Editorial: Nonlinear financial econometrics JoE special issue introduction ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Chaoticity versus stochasticity in financial markets: are daily S\&P 500 return dynamics chaotic?

Cites Work

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• Identifying financial time series with similar dynamic conditional correlation
• Multinomial Probabilities, Permanents and a Conjecture of Karlin and Rinott
• Robust estimation and outlier detection with correlation coefficients
• Transformation of non positive semidefinite correlation matrices
• Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach

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