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

Type
working paper
Date Issued
2007
Author(s)
Trojani, Fabio
Abstract
http://ideas.repec.org/p/usg/dp2005/2005-04.html
Language
English
HSG Classification
not classified
Refereed
No
Publisher
2007-25, VWA Discussion Papers Series, HSG St. Gallen
URL
Subject(s)

economics

Division(s)

SEPS - School of Econ...

MS - Faculty of Mathe...

Eprints ID
41447
File(s)
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Thumbnail Image

open.access

Name

treedcc_revision2_sep08.pdf

Size

252.22 KB

Format

Adobe PDF

Checksum (MD5)

643f8aef48c2dcdc0fd2793c8871f01b