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Average conditional correlation and tree structures for multivariate GARCH models

Audrino, Francesco ; Barone-Adesi, Giovanni

In: Journal of forecasting, 2006, vol. 25, no. 8, p. 579–600

We propose a simple class of multivariate GARCH models, allowing for time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of averaged correlations (across all series) and dynamic realized (historical) correlations. Our model is very parsimonious. Estimation is computationally feasible in very large dimensions...

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A general multivariate threshold GARCH model with dynamic conditional correlations

Audrino, Francesco ; Trojani, Fabio

In: Journal of business & economic statistics, 2011, vol. 29, no. 1, p. 138-149

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...

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