Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
type: Item
instance of: scholarly article
title: Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
zbMATH Open document ID: 1088.62123
author: Monica Billio
author: Massimiliano Caporin
published in: Statistical Methods and Applications
publication date: 2006-03-28T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5015842
zbMATH Keywords: dynamic correlations
zbMATH Keywords: Markov switching models
MaRDI profile type: Publication
full work available at URL: s10260-005-0108-8
OpenAlex ID: W2107624714
DOI: 10.1007/S10260-005-0108-8
description: scientific article; zbMATH DE number 5015842