A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
| Year of publication: |
2011
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|---|---|
| Authors: | Audrino, Francesco ; Trojani, Fabio |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122x. - Vol. 29.2011, 1, p. 138-150
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