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- W67968329 abstract "This paper proposes a multivariate GARCH model with nonlinear conditional variances as a new approach to modeling contagion and interdependence between international financial markets. The conditional variances are allowed to change smoothly between two extreme regimes and the transition is governed by past volatility. Changes in volatility interactions are thus indicative of structural changes in market linkages with implications to contagion and interdependence. The model is derived both under normal and student-t distributional assumptions. A LM test of linearity in conditional variances is also derived. Simulation studies point to model robustness to different variance and correlation specifications. An empirical example is provided." @default.
- W67968329 created "2016-06-24" @default.
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- W67968329 date "2007-01-01" @default.
- W67968329 modified "2023-09-27" @default.
- W67968329 title "A Smooth Transition Multivariate GARCH Approach to Contagion" @default.
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- W67968329 doi "https://doi.org/10.2139/ssrn.1080229" @default.
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