Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
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Publication:6573446
DOI10.1111/j.1467-9574.2010.00479.xMaRDI QIDQ6573446
Massimiliano Caporin, Michael McAleer
Publication date: 16 July 2024
Published in: Statistica Neerlandica (Search for Journal in Brave)
asymptotic theoryconditional variancestationarity conditionsmultivariate asymmetrymultivariate news impact curve
Mathematical economics (91Bxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)
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