Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis

DOI10.1007/S10260-005-0108-8zbMath1088.62123OpenAlexW2107624714MaRDI QIDQ819435

Monica Billio, Massimiliano Caporin

Publication date: 28 March 2006

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-005-0108-8

zbMATH Keywords

Markov switching modelsdynamic correlations

Mathematics Subject Classification ID

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

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