A general multivariate threshold GARCH model with dynamic conditional correlations
Type
working paper
Date Issued
2005
Author(s)
Trojani, Fabio
Abstract
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=487942
Language
English
HSG Classification
not classified
Refereed
No
Publisher
2005-04, VWA Discussion Papers Series, HSG St. Gallen
Subject(s)
Eprints ID
41439