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Models with Multiplicative Decomposition of Conditional Variances and Correlations

Cristina Amado (), Annastiina Silvennoinen () and Timo Teräsvirta ()

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: 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.

Keywords: Conditional heteroskedasticity; Deterministically varying correlations; Multiplicative decomposition; Nonstationary volatility (search for similar items in EconPapers)
JEL-codes: C12 C32 C51 C52 (search for similar items in EconPapers)
Date: 2018-04-25
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Working Paper: Models with Multiplicative Decomposition of Conditional Variances and Correlations (2018) Downloads
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