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Models with Multiplicative Decomposition of Conditional Variances and Correlations

Author

Listed:
  • Cristina Amado

    (University of Minho and NIPE, CREATES and Aarhus University)

  • Annastiina Silvennoinen

    (School of Economics and Finance, Queensland University of Technology)

  • Timo Ter¨asvirta

    (CREATES and Aarhus University, C.A.S.E., Humboldt-Universit¨at zu Berlin)

Abstract

Univariate and multivariate GARCH type models with multiplicative decomposition of the variance to short and long run components are surveyed. The latter component can be either deterministic or stochastic. Examples of both types are studied.

Suggested Citation

  • Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
    • Handle: RePEc:nip:nipewp:07/2018
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    Cited by:

    1. Christian Conrad & Melanie Schienle, 2020. "Testing for an Omitted Multiplicative Long-Term Component in GARCH Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 229-242, April.
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    3. Feng, Yuanhua & Härdle, Wolfgang Karl, 2020. "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers 2020-016, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

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    More about this item

    Keywords

    Conditional heteroskedasticity; Deterministically varying correlations; Multiplicative decomposition; Nonstationary volatility;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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