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- W3125437413 abstract "We extend the Dynamic Conditional Correlation multivariate GARCH specification to investigate the dynamic contemporaneous relationship between correlations and variances of the underlying assets. We present a generalization of the DCC model where the dynamic behavior depends on the assets variances through a threshold structure. Our purpose is to analyze the behavior of correlations in periods of high volatility. The application of the proposed specification to a sample of markets heterogeneous in the levels of their development allows the identification of market pairs whose correlations show low sensitivity to high underlying volatility." @default.
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- W3125437413 date "2008-01-01" @default.
- W3125437413 modified "2023-09-27" @default.
- W3125437413 title "Volatility Threshold Dynamic Conditional Correlations: An International Analysis" @default.
- W3125437413 hasPublicationYear "2008" @default.
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