Department of Economics and Business Economics

Models with Multiplicative Decomposition of Conditional Variances and Correlations

Research output: Working paperResearch

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Models with Multiplicative Decomposition of Conditional Variances and Correlations. / Amado, Cristina; Silvennoinen, Annastiina; Terasvirta, Timo.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2018.

Research output: Working paperResearch

Harvard

Amado, C, Silvennoinen, A & Terasvirta, T 2018 'Models with Multiplicative Decomposition of Conditional Variances and Correlations' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Amado, C., Silvennoinen, A., & Terasvirta, T. (2018). Models with Multiplicative Decomposition of Conditional Variances and Correlations. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2018-14

CBE

Amado C, Silvennoinen A, Terasvirta T. 2018. Models with Multiplicative Decomposition of Conditional Variances and Correlations. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Amado, Cristina, Annastiina Silvennoinen, and Timo Terasvirta Models with Multiplicative Decomposition of Conditional Variances and Correlations. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2018-14). 2018., 47 p.

Vancouver

Amado C, Silvennoinen A, Terasvirta T. Models with Multiplicative Decomposition of Conditional Variances and Correlations. Aarhus: Institut for Økonomi, Aarhus Universitet. 2018 Apr 25.

Author

Amado, Cristina ; Silvennoinen, Annastiina ; Terasvirta, Timo. / Models with Multiplicative Decomposition of Conditional Variances and Correlations. Aarhus : Institut for Økonomi, Aarhus Universitet, 2018. (CREATES Research Papers; No. 2018-14).

Bibtex

@techreport{0e8b773fa62649418364c78d5a22cf71,
title = "Models with Multiplicative Decomposition of Conditional Variances and Correlations",
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",
author = "Cristina Amado and Annastiina Silvennoinen and Timo Terasvirta",
year = "2018",
month = "4",
day = "25",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Models with Multiplicative Decomposition of Conditional Variances and Correlations

AU - Amado,Cristina

AU - Silvennoinen,Annastiina

AU - Terasvirta,Timo

PY - 2018/4/25

Y1 - 2018/4/25

N2 - 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.

AB - 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.

KW - Conditional heteroskedasticity, Deterministically varying correlations, Multiplicative decomposition, Nonstationary volatility

M3 - Working paper

BT - Models with Multiplicative Decomposition of Conditional Variances and Correlations

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -