Please use this identifier to cite or link to this item:
https://hdl.handle.net/1822/60221| Title: | Models with multiplicative decomposition of conditional variances and correlations |
| Author(s): | Amado, Cristina Silvennoinen, Annastiina Teräsvirta, Timo |
| Keywords: | Conditional heteroskedasticity Deterministically varying correlations Multiplicative decomposition Nonstationary volatility |
| Issue date: | 2018 |
| Publisher: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| 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. |
| Type: | Working paper |
| URI: | https://hdl.handle.net/1822/60221 |
| Publisher version: | https://www.eeg.uminho.pt/pt/investigar/nipe/Paginas/publicacoes.aspx |
| Access: | Open access |
| Appears in Collections: | NIPE - Documentos de Trabalho |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NIPE_WP_7_2018.pdf | 1,37 MB | Adobe PDF | View/Open |
