Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
Year of publication: |
2008
|
---|---|
Authors: | Caporin, Massimiliano ; McAleer, Michael |
Institutions: | Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova |
Subject: | multivariate asymmetry | conditional variance | stationarity conditions | asymptotic theory | multivariate news impact curve |
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