A Multivariate Threshold Varying Conditional Correlations Model

W. Kwan, W. K. Li and K. W. Ng

Econometric Reviews, 2010, vol. 29, issue 1, 20-38

Abstract: In this article, a multivariate threshold varying conditional correlation (TVCC) model is proposed. The model extends the idea of Engle (2002) and Tse and Tsui (2002) to a threshold framework. This model retains the interpretation of the univariate threshold GARCH model and allows for dynamic conditional correlations. Techniques of model identification, estimation, and model checking are developed. Some simulation results are reported on the finite sample distribution of the maximum likelihood estimate of the TVCC model. Real examples demonstrate the asymmetric behavior of the mean and the variance in financial time series and the ability of the TVCC model to capture these phenomena.

Keywords: Conditional correlation; Multivariate TVCC model; Threshold; Volatility (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474930903327260 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:29:y:2010:i:1:p:20-38

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474930903327260

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().