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Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns
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Cited by:
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016.
"Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Post-Print hal-01448238, HAL.
- Alexandros Gabrielsen & Axel Kirchner & Zhuoshi Liu & Paolo Zagaglia, 2015.
"Forecasting Value-At-Risk With Time-Varying Variance, Skewness And Kurtosis In An Exponential Weighted Moving Average Framework,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-29.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewnessn and Kurtosis in an Exponential Weighted Moving Average Framework," Working Papers wp831, Dipartimento Scienze Economiche, Universita' di Bologna.
- A. Gabrielsen & P. Zagaglia & A. Kirchner & Z. Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Papers 1206.1380, arXiv.org.
- Gabrielsen, A. & Zagaglia, Paolo & Kirchner, A. & Liu, Z., 2012. "Forecasting Value-at-Risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework," MPRA Paper 39294, University Library of Munich, Germany.
- Alexandros Gabrielsen & Paolo Zagaglia & Axel Kirchner & Zhuoshi Liu, 2012. "Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework," Working Paper series 34_12, Rimini Centre for Economic Analysis.
- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
Journal of Financial Econometrics, Oxford University Press, vol. 7(4), pages 373-411, Fall.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model," SSE/EFI Working Paper Series in Economics and Finance 0652, Stockholm School of Economics.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model," CREATES Research Papers 2008-05, Department of Economics and Business Economics, Aarhus University.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Yang (Greg) Hou & Mark Holmes, 2020. "Do higher order moments of return distribution provide better decisions in minimum-variance hedging? Evidence from US stock index futures," Australian Journal of Management, Australian School of Business, vol. 45(2), pages 240-265, May.
- Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
- Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
Working Papers
halshs-01133751, HAL.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, France.
- Francesco Pattarin & Riccardo Ferretti, 2004. "The Mib30 index and futures relationship: econometric analysis and implications for hedging," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1281-1289.
- da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022.
"Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17),"
Emerging Markets Review, Elsevier, vol. 52(C).
- Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
- Choi, Pilsun & Nam, Kiseok, 2008. "Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 41-63, January.
- Karoll Gómez Portilla & Santiago Gallón Gómez, 2007. "Distribución condicional de los retornos de la tasa de cambio colombiana: un ejercicio empírico a partir de modelos GARCH multivariados," Revista de Economía del Rosario, Universidad del Rosario, December.
- Yushi Yoshida, 2010. "Is this time different for Asia?: Evidence from stock Markets," Discussion Papers 40, Kyushu Sangyo University, Faculty of Economics.
- Erdogan, Oral & Tata, Kenan & Karahasan, B. Can & Sengoz, M. Hakan, 2013. "Dynamics of the co-movement between stock and maritime markets," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 282-290.
- Schüler, Martin & Schröder, Michael, 2003. "Systemic Risk in European Banking: Evidence from Bivariate GARCH Models," ZEW Discussion Papers 03-11, ZEW - Leibniz Centre for European Economic Research.
- Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
- Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Helena Chulia & Francisco Climent & Pilar Soriano & Hipolit Torro, 2009.
"Volatility transmission patterns and terrorist attacks,"
Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 607-619.
- Helena Chuliá Soler & Pilar Soriano Felipe & Francisco Climent & Hipòlit Torró, 2007. "Volatility Transmission Patterns And Terrorist Attacks," Working Papers. Serie EC 2007-09, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011.
"Volatility models,"
LIDAM Discussion Papers CORE
2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Annastiina Silvennoinen & Timo Ter�svirta, 2015.
"Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 174-197, February.
- Annastiina Silvennoinen & Timo Teräsvirta, 2012. "Modelling conditional correlations of asset returns: A smooth transition approach," CREATES Research Papers 2012-09, Department of Economics and Business Economics, Aarhus University.
- Restrepo E., María Isabel, 2012. "Estimating Portfolio Value at Risk with GARCH and MGARCH models," Perfil de Coyuntura Económica, Universidad de Antioquia, CIE, issue 19, pages 77-92, July.
- repec:wyi:journl:002141 is not listed on IDEAS
- Dima Rahman, 2014.
"Are banking systems increasingly fragile? Investigating financial institutions' CDS returns extreme co-movements,"
Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 805-830, May.
- Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," EconomiX Working Papers 2009-34, University of Paris Nanterre, EconomiX.
- Dima Rahman, 2009. "Are Banking Systems Increasingly Fragile ? Investigating Financial Institutions’ CDS Returns Extreme Co-Movements," Working Papers hal-04140856, HAL.
- Zouheir Mighri & Faysal Mansouri, 2013. "Dynamic Conditional Correlation Analysis of Stock Market Contagion: Evidence from the 2007-2010 Financial Crises," International Journal of Economics and Financial Issues, Econjournals, vol. 3(3), pages 637-661.
- Yushi Yoshida, 2009. "Financial crisis, exchange rate and stock market integration," Discussion Papers 38, Kyushu Sangyo University, Faculty of Economics.
- Alizadeh, Amir H. & Gabrielsen, Alexandros, 2013. "Dynamics of credit spread moments of European corporate bond indexes," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3125-3144.
- De Santis, Roberto A. & Stein, Michael, 2015.
"Financial indicators signaling correlation changes in sovereign bond markets,"
Journal of Banking & Finance, Elsevier, vol. 56(C), pages 86-102.
- De Santis, Roberto A. & Stein, Michael, 2014. "Financial indicators signalling correlation changes in sovereign bond markets," Working Paper Series 1746, European Central Bank.
- Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017.
"Are correlations constant? Empirical and theoretical results on popular correlation models in finance,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
- Adams, Zeno & Fuess, Roland & Glueck, Thorsten, 2016. "Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance," Working Papers on Finance 1613, University of St. Gallen, School of Finance.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2005.
"Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations,"
SSE/EFI Working Paper Series in Economics and Finance
577, Stockholm School of Economics, revised 01 Oct 2005.
- Annastiina Silvennoinen & Timo Teräsvirta, 2005. "Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations," Research Paper Series 168, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hou, Yang & Li, Steven, 2013. "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 109-131.
- Haas, Markus, 2010. "Covariance forecasts and long-run correlations in a Markov-switching model for dynamic correlations," Finance Research Letters, Elsevier, vol. 7(2), pages 86-97, June.
- De Santis, Roberto A. & Stein, Michael, 2016. "Correlation changes between the risk-free rate and sovereign yields of euro area countries," Working Paper Series 1979, European Central Bank.
- Phong Nguyen & Wei-han Liu, 2017. "Time-Varying Linkage of Possible Safe Haven Assets: A Cross-Market and Cross-asset Analysis," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 43-76, March.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Tomoaki Nakatani & Timo Terasvirta, 2009.
"Testing for volatility interactions in the Constant Conditional Correlation GARCH model,"
Econometrics Journal, Royal Economic Society, vol. 12(1), pages 147-163, March.
- Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model," SSE/EFI Working Paper Series in Economics and Finance 649, Stockholm School of Economics, revised 04 May 2008.
- Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
- Harvey, Andrew & Thiele, Stephen, 2016.
"Testing against changing correlation,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 575-589.
- Andrew Harvey & Stephen Thiele, 2014. "Testing against Changing Correlation," Cambridge Working Papers in Economics 1439, Faculty of Economics, University of Cambridge.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005.
"Volatility Forecasting,"
PIER Working Paper Archive
05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Chou, Ray Yeutien & Cai, Yijie, 2009. "Range-based multivariate volatility model with double smooth transition in conditional correlation," Global Finance Journal, Elsevier, vol. 20(2), pages 137-152.
- Hou, Yang & Li, Steven & Wen, Fenghua, 2019. "Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach," Energy Economics, Elsevier, vol. 83(C), pages 119-143.
- Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
- Jonathan Dark & Xibin Zhang & Nan Qu, 2010. "Influence diagnostics for multivariate GARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 278-291, July.
- Nadine McCloud & Yongmiao Hong, 2011. "Testing The Structure Of Conditional Correlations In Multivariate Garch Models: A Generalized Cross‐Spectrum Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 991-1037, November.
- repec:wyi:journl:002103 is not listed on IDEAS
- M. Fatih Oztek & Nadir Ocal, 2012. "Integration of China Stock Markets with International Stock Markets: An application of Smooth Transition Conditional Correlation with Double Transition Functions," ERC Working Papers 1209, ERC - Economic Research Center, Middle East Technical University, revised Dec 2012.
- Kin-Yip Ho & Albert K Tsui, 2008.
"Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar,"
Finance Working Papers
22571, East Asian Bureau of Economic Research.
- Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates: Further Evidence from the Malaysian Ringgit and Singapore Dollar," SCAPE Policy Research Working Paper Series 0805, National University of Singapore, Department of Economics, SCAPE.
- Kin-Yip Ho & Ka Cheng Tsui, 2004. "Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach," Money Macro and Finance (MMF) Research Group Conference 2004 12, Money Macro and Finance Research Group.
- Y. K. Tse, 2002. "Residual-based diagnostics for conditional heteroscedasticity models," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 358-374, June.
- Paolella, Marc S. & Polak, Paweł, 2015. "ALRIGHT: Asymmetric LaRge-scale (I)GARCH with Hetero-Tails," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 282-297.
- Wasel Shadat & Chris Orme, 2011. "An investigation of parametric tests of CCC assumption," Economics Discussion Paper Series 1109, Economics, The University of Manchester.
- Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
- Sylvia Gottschalk, 2023. "From Black Wednesday to Brexit: Macroeconomic shocks and correlations of equity returns in France, Germany, Italy, Spain, and the United Kingdom," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2843-2873, July.
- Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.