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Article: A multivariate threshold varying conditional correlations model

TitleA multivariate threshold varying conditional correlations model
Authors
KeywordsConditional correlation
Multivariate TVCC model
Threshold
Volatility
Issue Date2010
PublisherTaylor & 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/82642
ISSN
2015 Impact Factor: 1.817
2015 SCImago Journal Rankings: 1.836
ISI Accession Number ID
Funding AgencyGrant Number
Hong Kong Research Grants Councils
Croucher Foundation
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 FieldValueLanguage
dc.contributor.authorKwan, Wen_HK
dc.contributor.authorLi, WKen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:31:43Z-
dc.date.available2010-09-06T08:31:43Z-
dc.date.issued2010en_HK
dc.identifier.citationEconometric Reviews, 2010, v. 29 n. 1, p. 20-38en_HK
dc.identifier.issn0747-4938en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82642-
dc.description.abstractIn 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.languageeng-
dc.publisherTaylor & Francis Inc. The Journal's web site is located at http://www.tandf.co.uk/journals/titles/07474938.aspen_HK
dc.relation.ispartofEconometric Reviewsen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsThis 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.subjectConditional correlationen_HK
dc.subjectMultivariate TVCC modelen_HK
dc.subjectThresholden_HK
dc.subjectVolatilityen_HK
dc.titleA multivariate threshold varying conditional correlations modelen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1080/07474930903327260en_HK
dc.identifier.scopuseid_2-s2.0-77951012492en_HK
dc.identifier.hkuros170549-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77951012492&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume29en_HK
dc.identifier.issue1en_HK
dc.identifier.spage20en_HK
dc.identifier.epage38en_HK
dc.identifier.isiWOS:000276099600002-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridKwan, W=35797453900en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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