A Multivariate Threshold Varying Conditional Correlations Model
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Publication:3404109
DOI10.1080/07474930903327260zbMath1180.62123MaRDI QIDQ3404109
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Publication date: 5 February 2010
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/82642
62H99: Multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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