A general multivariate threshold GARCH model with dynamic conditional correlations
Year of publication: |
2007-04
|
---|---|
Authors: | Audrino, Francesco ; Trojani, Fabio |
Institutions: | School of Economics and Political Science, Universität St. Gallen |
Subject: | Multivariate GARCH models | Dynamic conditional correlations | Tree-structured GARCH models |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 34 pages |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
-
Futures hedging: Multivariate GARCH with dynamic conditional correlations (in Russian)
Kolokolov, Alexei, (2011)
-
A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco, (2007)
-
Bayesian Approaches to Shrinkage and Sparse Estimation
Korobilis, Dimitris, (2021)
- More ...
-
A general multivariate threshold GARCH model with dynamic conditional correlations
Trojani, Fabio, (2005)
-
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
Audrino, Francesco, (2007)
-
Modeling Tick-by-Tick Realized Correlations
Corsi, Fulvio, (2008)
- More ...