A general multivariate threshold GARCH model with dynamic conditional correlations
Francesco Audrino; Fabio Trojani
| Year of publication: |
2011
|
|---|---|
| Authors: | Audrino, Francesco ; Trojani, Fabio |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 29.2011, 1, p. 138-149
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| Subject: | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009159099