A general multivariate threshold GARCH model with dynamic conditional correlations

Journal of Business and Economic Statistics

Volumn 29, Issue 1, 2011, Pages 138-149

  Audrino, Francesco ^a   Trojani, Fabio ^b  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

^b UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

Dynamic conditional correlations; Multivariate GARCH models; Tree structured GARCH models

Indexed keywords

EID: 78449258247     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2010.08117     Document Type: Article

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