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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10009751844
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Generalized forecast error variance decomposition for linear and nonlinear multivariate models
Lanne, Markku; Nyberg, Henri - 2014
Persistent link: https://www.econbiz.de/10010358974
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A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics
Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011541169
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Asymptotic theory for extended asymmetric multivariate GARCH processes
Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011541171