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A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04)
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A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04)
Type
working paper
Date Issued
2007
Author(s)
Audrino, Francesco
Trojani, Fabio
Abstract
http://ideas.repec.org/p/usg/dp2005/2005-04.html
Language
English
HSG Classification
not classified
Refereed
No
Publisher
2007-25, VWA Discussion Papers Series, HSG St. Gallen
URL
https://www.alexandria.unisg.ch/handle/20.500.14171/81271
Subject(s)
economics
Division(s)
SEPS - School of Econ...
MS - Faculty of Mathe...
Eprints ID
41447
File(s)
treedcc_revision2_sep08.pdf (252.22 KB)