Positivity constraints on the conditional variances in the family of conditional correlation GARCH models

Finance Research Letters

Volumn 5, Issue 2, 2008, Pages 88-95

  Nakatani, Tomoaki ^a   Teräsvirta, Timo ^a,b  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Conditional correlation; Multivariate GARCH; Positivity constraints

Indexed keywords

EID: 43449117472     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.02.001     Document Type: Article

References (14)

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