Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (Q819435)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5015842
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis |
scientific article; zbMATH DE number 5015842 |
Statements
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis (English)
0 references
28 March 2006
0 references
dynamic correlations
0 references
Markov switching models
0 references
0.8094714283943176
0 references
0.7888045907020569
0 references
0.783501923084259
0 references
0.77198326587677
0 references
