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A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04)

Francesco Audrino & Fabio Trojani

abstract http://ideas.repec.org/p/usg/dp2005/2005-04.html
   
type working paper (English)
   
keywords
   
date of appearance 2007
publisher 2007-25, VWA Discussion Papers Series, HSG St. Gallen
review not reviewed
   
citation Audrino, F., & Trojani, F. (2007). A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04): 2007-25, VWA Discussion Papers Series, HSG St. Gallen.