University of St.Gallen
research platform alexandria
search publications
browse publications
by person
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
by year

A General Multivariate Threshold GARCH Model for Dynamic Correlations

Francesco Audrino & Fabio Trojani

fulltext etc. no fulltext attached
abstract We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step
estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data, and the model conditional covariance matrix is ensured to be positive definite. We study the empirical performance of our model in two applications using US stock and bond market data. In both applications our model has, in terms of statistical and economic significance, higher forecasting power than several other multivariate GARCH models for conditional correlations
   
type journal paper
   
keywords Multivariate GARCH models; Dynamic conditional correlations; Tree-structured GARCH models.
   
language English
kind of paper journal article
date of appearance 1-2011
journal Journal of Business and Economic Statistics
publisher Taylor & Francis (Abingdon UK)
ISSN 0735-0015
ISSN (online) 1537-2707
DOI 10.1198/jbes.2010.08117
volume of journal 29
number of issue 1
page(s) 138-149
review double-blind review
   
citation Audrino, F., & Trojani, F. (2011). A General Multivariate Threshold GARCH Model for Dynamic Correlations. Journal of Business and Economic Statistics, 29(1), 138-149, DOI:10.1198/jbes.2010.08117.