A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
http://www.tandfonline.com/doi/pdf/10.1080/07474938.2011.608045
Reference46 articles.
1. Bayesian Dynamic Factor Models and Portfolio Allocation
2. Estimating and predicting multivariate volatility thresholds in global stock markets
3. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
4. Multivariate GARCH models: a survey
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