A class of DCC asymmetric GARCH models driven by exogenous variables
Year of publication: |
2010
|
---|---|
Authors: | Zakoïan, Jean-Michel |
Institutions: | Université Paris-Dauphine (Paris IX) |
Subject: | Dynamic conditional correlation | Existence of nonexplosive solutions | Multi-variate GARCH | Nonstationary processes | Time-varying models |
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