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Article: A multivariate threshold varying conditional correlations model
| Title | A multivariate threshold varying conditional correlations model | ||||||
|---|---|---|---|---|---|---|---|
| Authors | |||||||
| Keywords | Conditional correlation Multivariate TVCC model Threshold Volatility | ||||||
| Issue Date | 2010 | ||||||
| Publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp | ||||||
| Citation | Econometric Reviews, 2010, v. 29 n. 1, p. 20-38 How to Cite? | ||||||
| Abstract | In this article, a multivariate threshold varying conditional correlation (TVCC) model is proposed. The model extends the idea of Engle (2002) and Tse and Tsui (2002) to a threshold framework. This model retains the interpretation of the univariate threshold GARCH model and allows for dynamic conditional correlations. Techniques of model identification, estimation, and model checking are developed. Some simulation results are reported on the finite sample distribution of the maximum likelihood estimate of the TVCC model. Real examples demonstrate the asymmetric behavior of the mean and the variance in financial time series and the ability of the TVCC model to capture these phenomena. © Taylor & Francis Group, LLC. | ||||||
| Persistent Identifier | http://hdl.handle.net/10722/82642 | ||||||
| ISSN | 2023 Impact Factor: 0.8 2023 SCImago Journal Rankings: 1.051 | ||||||
| ISI Accession Number ID |
Funding Information: W. K. Li thanks the Hong Kong Research Grants Councils & the Croucher Foundation for partial support of this research. We would also like to thank Professor Y. K. Tse for providing the two financial time series data sets. An earlier version of the article was presented at the Symposium on Econometric Forecasting and High-Frequency Data Analysis May 7-8, 2004. The Symposium was jointly hosted by the Institute for Mathematical Sciences, National University of Singapore, and the School of Economics and Social Sciences, Singapore Management University. The authors thank Professors R. F. Engle, Mike McAleer, Y. K. Tse, A. Tsui, two referees, and the Editor for helpful discussions that led to improvement of the article. | ||||||
| References |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kwan, W | en_HK |
| dc.contributor.author | Li, WK | en_HK |
| dc.contributor.author | Ng, KW | en_HK |
| dc.date.accessioned | 2010-09-06T08:31:43Z | - |
| dc.date.available | 2010-09-06T08:31:43Z | - |
| dc.date.issued | 2010 | en_HK |
| dc.identifier.citation | Econometric Reviews, 2010, v. 29 n. 1, p. 20-38 | en_HK |
| dc.identifier.issn | 0747-4938 | en_HK |
| dc.identifier.uri | http://hdl.handle.net/10722/82642 | - |
| dc.description.abstract | In this article, a multivariate threshold varying conditional correlation (TVCC) model is proposed. The model extends the idea of Engle (2002) and Tse and Tsui (2002) to a threshold framework. This model retains the interpretation of the univariate threshold GARCH model and allows for dynamic conditional correlations. Techniques of model identification, estimation, and model checking are developed. Some simulation results are reported on the finite sample distribution of the maximum likelihood estimate of the TVCC model. Real examples demonstrate the asymmetric behavior of the mean and the variance in financial time series and the ability of the TVCC model to capture these phenomena. © Taylor & Francis Group, LLC. | en_HK |
| dc.language | eng | - |
| dc.publisher | Taylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.asp | en_HK |
| dc.relation.ispartof | Econometric Reviews | en_HK |
| dc.rights | This is an electronic version of an article published in Econometric Reviews, 2010, v. 29 n. 1, p. 20-38. The Journal article is available online at: http://www.tandfonline.com/doi/full/10.1080/07474930903327260 | - |
| dc.subject | Conditional correlation | en_HK |
| dc.subject | Multivariate TVCC model | en_HK |
| dc.subject | Threshold | en_HK |
| dc.subject | Volatility | en_HK |
| dc.title | A multivariate threshold varying conditional correlations model | en_HK |
| dc.type | Article | en_HK |
| dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0747-4938&volume=29&issue=1&spage=20&epage=38&date=2010&atitle=A+multivariate+threshold+varying+conditional+correlations+model+ | - |
| dc.identifier.email | Li, WK: hrntlwk@hku.hk | en_HK |
| dc.identifier.email | Ng, KW: kaing@hkucc.hku.hk | en_HK |
| dc.identifier.authority | Li, WK=rp00741 | en_HK |
| dc.identifier.authority | Ng, KW=rp00765 | en_HK |
| dc.description.nature | postprint | - |
| dc.identifier.doi | 10.1080/07474930903327260 | en_HK |
| dc.identifier.scopus | eid_2-s2.0-77951012492 | en_HK |
| dc.identifier.hkuros | 170549 | - |
| dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77951012492&selection=ref&src=s&origin=recordpage | en_HK |
| dc.identifier.volume | 29 | en_HK |
| dc.identifier.issue | 1 | en_HK |
| dc.identifier.spage | 20 | en_HK |
| dc.identifier.epage | 38 | en_HK |
| dc.identifier.isi | WOS:000276099600002 | - |
| dc.publisher.place | United States | en_HK |
| dc.identifier.scopusauthorid | Kwan, W=35797453900 | en_HK |
| dc.identifier.scopusauthorid | Li, WK=14015971200 | en_HK |
| dc.identifier.scopusauthorid | Ng, KW=7403178774 | en_HK |
| dc.identifier.issnl | 0747-4938 | - |