Modelling Volatility and Correlations with a Hidden Markov Decision Tree
Mardi | 2011-02-01 B103 Philippe CHARLOT – libre The goal of the present paper is to present a new multivariate GARCH model with time varying conditional correlation. Since the seminal work of Bollerslev (1990), conditional correlation models have become a attractive field in economics. Different specifications have been developed to study both empirical findings and practical use like asymmetry, change in regime but also estimation of large correlation matrix (see, e.g. Silvennoinen and Teräsvirta (2009) for a survey of recent […]