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Structural analysis with Multivariate Autoregressive Index models
Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348
Persistent link: https://www.econbiz.de/10011704654
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A general multivariate threshold GARCH model with dynamic conditional correlations
Trojani, Fabio; Audrino, Francesco - 2005
Persistent link: https://www.econbiz.de/10002771808
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 138-149
Persistent link: https://www.econbiz.de/10009159099
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674253
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - 2007 - Rev. version
Persistent link: https://www.econbiz.de/10003514621
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The economic drivers of volatility and uncertainty
Carriero, Andrea; Corsello, Francesco; Marcellino, … - 2020
Persistent link: https://www.econbiz.de/10012301117
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A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations
Trojani, Fabio; Audrino, Francesco - 2007
Revised version of paper no. 2005-04. We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations. The model estimation is feasible in large dimensions and the...
Persistent link: https://www.econbiz.de/10014066124