Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
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Publication:6573446
DOI10.1111/J.1467-9574.2010.00479.XMaRDI QIDQ6573446FDOQ6573446
Authors: Massimiliano Caporin, Michael McAleer 
Publication date: 16 July 2024
Published in: Statistica Neerlandica (Search for Journal in Brave)
asymptotic theorystationarity conditionsconditional variancemultivariate asymmetrymultivariate news impact curve
Applications of statistics (62Pxx) Mathematical economics (91Bxx) Inference from stochastic processes (62Mxx)
Cites Work
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- Handbook of econometrics. Vol. 4
- On asymptotic theory for multivariate GARCH models
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
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