A multivariate threshold GARCH model
From MaRDI portal
Publication:4900923
Recommendations
- scientific article; zbMATH DE number 1916727
- Estimation of multivariate asymmetric power GARCH models
- A general multivariate threshold GARCH model with dynamic conditional correlations
- On asymptotic theory for multivariate GARCH models
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Cited in
(17)- Volatility estimation of multivariate ARMA-GARCH model
- A multivariate threshold stochastic volatility model
- Network GARCH model
- A multivariate threshold varying conditional correlations model
- A general multivariate threshold GARCH model with dynamic conditional correlations
- scientific article; zbMATH DE number 597676 (Why is no real title available?)
- scientific article; zbMATH DE number 1916727 (Why is no real title available?)
- Asymptotic inference in multiple-threshold double autoregressive models
- Estimation of multivariate asymmetric power GARCH models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Contemporaneous-threshold smooth transition GARCH models
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Multivariate contemporaneous-threshold autoregressive models
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- scientific article; zbMATH DE number 1222303 (Why is no real title available?)
- On the parametrization of multivariate GARCH models
- On buffered threshold GARCH models
This page was built for publication: A multivariate threshold GARCH model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4900923)
