Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations

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Cristina Amado and Timo Teräsvirta

Aarhus University, School of Economics and Management

2009

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Title: Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Creators - without role: Cristina Amado - Stockholm School of Economics, {Historical} Center for Economic Statistics
Timo Teräsvirta - University of Aarhus (DK)
Publisher: Aarhus University, School of Economics and Management
Number of pages: 41
Identifiers: 991001479451306056
Academic Unit: {Historical} Center for Economic Statistics
Language: English
Resource Type: Report