A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks

DOI10.1080/07474938.2011.608045zbMath1491.62163OpenAlexW2000250416MaRDI QIDQ5080547

Sarantis Tsiaplias, Chew Lian Chua

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2011.608045

zbMATH Keywords

spilloversexchange ratescontagionmultivariate GARCHstockmarket indices

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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