Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (Q6573446)
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scientific article; zbMATH DE number 7881870
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| English | Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH |
scientific article; zbMATH DE number 7881870 |
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH (English)
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16 July 2024
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multivariate asymmetry
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conditional variance
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stationarity conditions
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asymptotic theory
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multivariate news impact curve
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