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Table Of Contents

1. Introduction
2. The Model
2.1. Regime switching for the correlations
2.2. A restricted model
2.3. Univariate volatility models
2.4. Review of multivariate GARCH models
3. Estimation
3.1. One-Step Estimation
3.2. Two-Step Estimation
4. Multi-Step Ahead Conditional Expectations
5. Application to exchange rate data
5.1. Switching regime model with two states
5.2. Switching regime model with three states
5.3. DCC-GARCH
5.4. Series associated to the Markov chain
6. conclusion
A. Proofs
B. Moments of the ARMACH model
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Regime Switching for Dynamic Correlations

Regime Switching for Dynamic Correlations

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Published by Filippo Mariani

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Published by: Filippo Mariani on Jan 18, 2011
Copyright:Attribution Non-commercial

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11/12/2011

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