The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Regime switching for dynamic correlations
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Maximum Likelihood from Incomplete Data Via the EM Algorithm
Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1977.tb01600.x · Cited by 50,444
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Cited by
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Financialization, crisis and commodity correlation dynamics
Silvennoinen, A., & Thorp, S. (2013) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.11.007 · Cited by 650
Silvennoinen, A., & Teräsvirta, T. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_9 · Cited by 452
Financial crises and stock market contagion in a multivariate time-varying asymmetric framework
Kenourgios, D., Samitas, A., & Paltalidis, N. (2011) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2010.08.005 · Cited by 424
Dynamic Conditional Correlation: On Properties and Estimation
Aielli, G. P. (2013) · Journal of Business & Economic Statistics · doi:10.1080/07350015.2013.771027 · Cited by 422
Metadata
- Authors
- Pelletier, D.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2006-03
- Volume
- 131
- Issue
- 1-2
- Pages
- 445-473
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2161808462
- Cited by
- 413
- References
- 3
- FWCI
- 35.76
- Type
- journal article
- Language
- en
- Open access
- closed
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: Regime switching for dynamic correlations. https://app.cochat.ai/papers/10.1016/j.jeconom.2005.01.013
- The paper
- Pelletier, D. (2006). Regime switching for dynamic correlations. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2005.01.013
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
