Trojani, Fabio; Audrino, Francesco - In: Journal of Applied Econometrics 21 (2006) 3, pp. 345-369
We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several multivariate thresholds in conditional means and volatilities of index returns and (ii) a richer specification for the...