Regime switching for dynamic correlations
From MaRDI portal
Publication:292034
DOI10.1016/j.jeconom.2005.01.013zbMath1337.62277OpenAlexW2161808462MaRDI QIDQ292034
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.013
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
A stochastic recurrence equations approach for score driven correlation models, Forecasting correlations during the late-2000s financial crisis: the short-run component, the long-run component, and structural breaks, Regime switches in the dependence structure of multidimensional financial data, Robust optimization of mixed CVaR STARR ratio using copulas, The Wishart autoregressive process of multivariate stochastic volatility, Portfolio selection in a two-regime world, Modeling covariance breakdowns in multivariate GARCH, HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE, Asymmetric conditional correlations in stock returns, The shifting dependence dynamics between the G7 stock markets, A Survey on Time-Varying Copulas: Specification, Simulations, and Application, Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach, A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks, Semi- and nonparametric ARCH processes, Testing for mutually exciting jumps and financial flights in high frequency data, Contagion and global financial crises: lessons from nine crisis episodes, High dimensional dynamic stochastic copula models, ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS, Nonlinearities and regimes in conditional correlations with different dynamics, On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models, Modeling dependence dynamics through copulas with regime switching, Estimating VAR-MGARCH models in multiple steps, A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns, A regime switching skew-normal model of contagion, Identifying financial time series with similar dynamic conditional correlation, Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion, Analysing financial contagion and asymmetric market dependence with volatility indices via copulas, Strategic asset allocation with switching dependence, Adding flexibility to Markov Switching models, Sequential monitoring of minimum variance portfolio, Modeling multi-country mortality dependence and its application in pricing survivor index swaps -- a dynamic copula approach, Portfolio optimization when asset returns have the Gaussian mixture distribution, The impact of general non-parametric volatility functions in multivariate GARCH models, Value-at-risk in a market subject to regime switching, Portfolio Selection with Common Correlation Mixture Models, Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns, Efficient estimation of a multivariate multiplicative volatility model, Modelling Multivariate Volatilities via Conditionally Uncorrelated Components, Multivariate mixed normal conditional heteroskedasticity, Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options, A Multivariate Threshold Varying Conditional Correlations Model, Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model, Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation, A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model, COMFORT: a common market factor non-Gaussian returns model
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Dynamic linear models with Markov-switching
- Autoregressive conditional heteroskedasticity and changes in regime
- Generalized autoregressive conditional heteroscedasticity
- Specification testing in Markov-switching time-series models
- Two Stage and Related Estimators and Their Applications
- Variance Function Estimation
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Multivariate Stochastic Variance Models
- Volatility and Links between National Stock Markets
- Estimation When a Parameter is on a Boundary
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- Model selection tests for nonlinear dynamic models
- The Distribution of Realized Exchange Rate Volatility
- Common Persistence in Conditional Variances
