Caporin, Massimiliano; McAleer, Michael - Dipartimento di Scienze Economiche "Marco Fanno", … - 2008
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution....