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Conditional correlation in asset return and GARCH intensity model

✍ Scribed by Choe, Geon Ho; Lee, Kyungsub

Book ID
125353066
Publisher
Springer-Verlag
Year
2013
Tongue
English
Weight
931 KB
Volume
98
Category
Article
ISSN
1863-8171

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We propose a simple class of multivariate GARCH models, allowing for timevarying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations.