On a Bivariate Hysteretic AR-GARCH Model with Conditional Asymmetry in Correlations
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DOI: 10.1007/s10614-020-10034-0
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- Linyu Cao & Ruili Sun & Tiefeng Ma & Conan Liu, 2023. "On Asymmetric Correlations and Their Applications in Financial Markets," JRFM, MDPI, vol. 16(3), pages 1-18, March.
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Keywords
Hysteretic GARCH model; Hysteresis variable; Time-varying correlation; Multivariate time series; Out-of-sample forecast; Value-at-risk;All these keywords.
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