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Models with Multiplicative Decomposition of Conditional Variances and Correlations

Cristina Amado (), Annastiina Silvennoinen () and Timo Ter¨asvirta ()
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Timo Ter¨asvirta: CREATES and Aarhus University, C.A.S.E., Humboldt-Universit¨at zu Berlin

Authors registered in the RePEc Author Service: Timo Teräsvirta ()

No 07/2018, NIPE Working Papers from NIPE - Universidade do Minho

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)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018
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