A general multivariate threshold GARCH model with dynamic conditional correlations
Francesco Audrino and Fabio Trojani
| Year of publication: |
2007 ; Rev. version
|
|---|---|
| Authors: | Audrino, Francesco ; Trojani, Fabio |
| Publisher: |
St. Gallen : Dep. of Economics, Univ. of St. Gallen |
| Subject: | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Dynamische Optimierung | Dynamic programming | Schätztheorie | Estimation theory |
| Extent: | 30 S. |
|---|---|
| Series: | Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics. - St. Gallen : SEPS, Dep. of Economics, ZDB-ID 2370935-2. - Vol. 2007-25 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Revised version of paper no. 2005-04 Internetausg.: http://www.vwa.unisg.ch/org/vwa/web.nsf/SysWebRessources/VWA_2007_25/$FILE/DP-0725-Audrino+Trojani-Ganz+rev.pdf |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003514621