Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model
Year of publication: |
2009
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Authors: | Silvennoinen, Annastiina ; Terasvirta, Timo |
Publisher: |
Oxford University Press |
Subject: | Econometric and Statistical Methods | Time-Series Analysis | Consistent Conditional Correlation | Dynamic Conditional Correlation | Multivariate GARCH | Return Comovement | Volatility model |
Type of publication: | Article |
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Notes: | DOI:10.1093/jjfinec/nbp013 Silvennoinen, Annastiina & Terasvirta, Timo (2009) Modeling multivariate autoregressive conditional heteroskedasticity with the double smooth transition conditional correlation GARCH Model. Journal of Financial Econometrics, 7(4), pp. 373-411. QUT Business School; School of Economics and Finance |
Source: | BASE |
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