Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (Q819435)
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scientific article; zbMATH DE number 5015842
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis |
scientific article; zbMATH DE number 5015842 |
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Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (English)
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28 March 2006
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dynamic correlations
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Markov switching models
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