A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations

DOI10.1198/JBES.2010.08117zbMath1214.62090OpenAlexW2063583831MaRDI QIDQ5392691

Fabio Trojani, Francesco Audrino

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/21152/files/trojani_JBES_2011.pdf

zbMATH Keywords

dynamic conditional correlationsmultivariate GARCH modelstree-structured GARCH models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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