Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
| Year of publication: |
2011
|
|---|---|
| Authors: | Caporin, Massimiliano ; McAleer, Michael |
| Published in: |
Statistica Neerlandica : journal of the Netherlands Society for Statistics and Operations Research. - Oxford : Blackwell, ISSN 0039-0402, ZDB-ID 2047883. - Vol. 65.2011, 2, p. 125-164
|