Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
نویسندگان
چکیده
منابع مشابه
Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
DAMGARCH extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. DAMGARCH models the shocks affecting the conditional variances on the basis of an underlying multivariate distribution. It is possible to model explicitly asset-specific shocks and common innovations by partitioning the ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1198702