So, Mike K. P.; Choi, C. Y. - In: Journal of Forecasting 28 (2009) 8, pp. 712-735
A new multivariate stochastic volatility model is developed in this paper. The main feature of this model is to allow threshold asymmetry in a factor covariance structure. The new model provides a parsimonious characterization of volatility and correlation asymmetry in response to market news....