A multivariate threshold varying conditional correlations model

W. Kwan, W. K. Li; K. W. Ng

Year of publication:	2010
Authors:	Kwan, W. ; Li, Wai Keung ; Ng, K. W.
Published in:	Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 29.2010, 1, p. 20-38
Subject:	Korrelation \| Correlation \| ARCH-Modell \| ARCH model \| Volatilität \| Volatility \| Multivariate Analyse \| Multivariate analysis \| Wechselkurs \| Exchange rate \| USA \| United States \| 1990-1998

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