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Modelling time-varying volatility interactions

delete2026-01-20
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PRE
AI
S
Susana Campos-Martins
C
Cristina Amado *
DOI：10.1016/j.irfa.2026.105098delete
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Abstract

Abstract

En 中文
• We propose an additive time-varying (or partially time-varying) multivariate model of volatility, where a time-dependent component is added to the extended vector GARCH process for modelling the dynamics of volatility interactions. • The estimation of the new time-varying vector GARCH process is simplified using an equation-by-equation estimator. • A Lagrange multiplier test is derived for testing the null hypothesis of constancy co-dependence volatility against a smoothly time-varying interdependence between financial markets. • An application to sovereign bond yields illustrates the modelling strategy and the usefulness of the new specification.

Journal

International Review of Financial Analysis cover
International Review of Financial Analysis
IF:
9.8
Papers:
4.0K
Citations:
1.9W

Organization

C
Catholic University of Portugal
Scholars:
6
Papers: 6
Citations: 0
U
university of minho and nipe
Scholars:
2
Papers: 2
Citations: 0
Cited Papers

Cited Papers

No cited papers available