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• W2943228727 abstract "A new multivariate volatility model that belongs to the family of conditional correlation GARCH models is introduced. The GARCH equations of this model contain a multiplicative deterministic component to describe long-run movements in volatility and, in addition, the correlations are deterministically time-varying. Parameters of the model are estimated jointly using maximum likelihood. Consistency and asymptotic normality of maximum likelihood estimators is proved. Numerical aspects of the estimation algorithm are discussed. A bivariate empirical example is provided." @default.
• W2943228727 created "2019-05-09" @default.
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• W2943228727 date "2021-08-01" @default.
• W2943228727 modified "2023-09-29" @default.
• W2943228727 title "Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model" @default.
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• W2943228727 doi "https://doi.org/10.1016/j.ecosta.2021.07.008" @default.
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