Pages that link to "Item:Q960327"
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The following pages link to A multivariate threshold stochastic volatility model (Q960327):
Displaying 11 items.
- Threshold variable selection of asymmetric stochastic volatility models (Q2259328) (← links)
- Tail behavior of a threshold autoregressive stochastic volatility model (Q2488465) (← links)
- A triple-threshold leverage stochastic volatility model (Q2687884) (← links)
- Volatility analysis during the Asia crisis: a multivariate GARCH-M model for stock returns in the U. S., Germany and Japan (Q2722295) (← links)
- Contagion determination via copula and volatility threshold models (Q2893213) (← links)
- Multivariate stochastic volatility, leverage and news impact surfaces (Q3161679) (← links)
- Modelling financial time series with threshold nonlinearity in returns and trading volume (Q3505196) (← links)
- A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
- A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations (Q5392691) (← links)
- Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (Q5433621) (← links)
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (Q6623167) (← links)