Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis

Statistical Methods and Applications

Volumn 14, Issue 2, 2005, Pages 145-161

  Billio, Monica ^a   Caporin, Massimiliano ^b  

^a CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

^b U Rio Novo   (Italy)

Author keywords

Contagion; Dynamic correlations; Markov switching models

Indexed keywords

EID: 27244433673     PISSN: 16182510     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10260-005-0108-8     Document Type: Review

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