Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
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Publication:819435
DOI10.1007/s10260-005-0108-8zbMath1088.62123MaRDI QIDQ819435
Monica Billio, Massimiliano Caporin
Publication date: 28 March 2006
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-005-0108-8
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
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