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TitleModels with multiplicative decomposition of conditional variances and correlations
Author(s)Amado, Cristina
Silvennoinen, Annastiina
Teräsvirta, Timo
KeywordsConditional heteroskedasticity
Deterministically varying correlations
Multiplicative decomposition
Nonstationary volatility
Issue date2018
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
JournalNIPE Working Paper
Abstract(s)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.
TypeWorking paper
Publisher version
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

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