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Details about Annastiina Silvennoinen

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Workplace:Business School, Queensland University of Technology, (more information at EDIRC)

Access statistics for papers by Annastiina Silvennoinen.

Last updated 2019-08-19. Update your information in the RePEc Author Service.

Short-id: psi115


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Working Papers

2018

  1. Models with Multiplicative Decomposition of Conditional Variances and Correlations
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) Downloads View citations (1)
  2. Transition from the Taylor rule to the zero lower bound
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2017

  1. Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  2. Modelling and forecasting WIG20 daily returns
    NIPE Working Papers, NIPE - Universidade do Minho Downloads View citations (3)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2017) Downloads View citations (2)

    See also Journal Article in Central European Journal of Economic Modelling and Econometrics (2017)

2016

  1. Volatility Dependent Dynamic Equicorrelation
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2015

  1. Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    See also Journal Article in Journal of Futures Markets (2016)
  2. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    NCER Working Paper Series, National Centre for Econometric Research Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)

2014

  1. A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in NCER Working Paper Series, National Centre for Econometric Research (2014) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2016)

2013

  1. On the Benefits of Equicorrelation for Portfolio Allocation
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2012

  1. Forecasting multivariate volatility in larger dimensions: some practical issues
    NCER Working Paper Series, National Centre for Econometric Research Downloads
  2. Modelling conditional correlations of asset returns: A smooth transition approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Econometric Reviews (2015)

2011

  1. Volatility timing and portfolio selection: How best to forecast volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2010

  1. Financialization, Crisis and Commodity Correlation Dynamics
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (51)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2013)
  2. Portfolio allocation: Getting the most out of realised volatility
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2009

  1. On the economic benefit of utility based estimation of a volatility model
    NCER Working Paper Series, National Centre for Econometric Research Downloads

2008

  1. Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2007) View citations (5)

    See also Journal Article in Journal of Financial Econometrics (2009)
  2. Multivariate GARCH models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (21)
    Also in SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics (2008) Downloads View citations (65)
  3. Parameterizing unconditional skewness in models for financial time series
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (14)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (6)

    See also Journal Article in Journal of Financial Econometrics (2008)

2005

  1. Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (33)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) Downloads View citations (36)

Journal Articles

2019

  1. Volatility-dependent correlations: further evidence of when, where and how
    Empirical Economics, 2019, 57, (2), 505-540 Downloads

2017

  1. Modelling and Forecasting WIG20 Daily Returns
    Central European Journal of Economic Modelling and Econometrics, 2017, 9, (3), 173-200 Downloads View citations (2)
    See also Working Paper (2017)

2016

  1. A Smooth Transition Logit Model of The Effects of Deregulation in the Electricity Market
    Journal of Applied Econometrics, 2016, 31, (4), 707-733 Downloads View citations (6)
    See also Working Paper (2014)
  2. Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics
    Journal of Futures Markets, 2016, 36, (6), 522-544 Downloads View citations (4)
    See also Working Paper (2015)
  3. Testing constancy of unconditional variance in volatility models by misspecification and specification tests
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 347-364 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Modeling Conditional Correlations of Asset Returns: A Smooth Transition Approach
    Econometric Reviews, 2015, 34, (1-2), 174-197 Downloads View citations (15)
    See also Working Paper (2012)

2013

  1. Financialization, crisis and commodity correlation dynamics
    Journal of International Financial Markets, Institutions and Money, 2013, 24, (C), 42-65 Downloads View citations (195)
    See also Working Paper (2010)
  2. Volatility timing: How best to forecast portfolio exposures
    Journal of Empirical Finance, 2013, 24, (C), 108-115 Downloads View citations (6)

2009

  1. Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
    Journal of Financial Econometrics, 2009, 7, (4), 373-411 Downloads View citations (56)
    See also Working Paper (2008)

2008

  1. Parameterizing Unconditional Skewness in Models for Financial Time Series
    Journal of Financial Econometrics, 2008, 6, (2), 208-230 Downloads View citations (14)
    See also Working Paper (2008)
 
Page updated 2019-10-16