A Multivariate Threshold Varying Conditional Correlations Model
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Publication:3404109
DOI10.1080/07474930903327260zbMath1180.62123OpenAlexW2052656896MaRDI QIDQ3404109
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Publication date: 5 February 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/82642
Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (3)
Testing for nonlinearity in conditional covariances ⋮ A multivariate threshold stochastic volatility model ⋮ Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
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