Work

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Year: 2011

Type: preprint

Source: RePEc: Research Papers in Economics

DOI: 10.1111/j.1467-9574.2010.00479.x

Authors: Michael McAleer, Massimiliano Caporin

Institutions: University of Padua, Tinbergen Institute, Kyoto University, Erasmus University Rotterdam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2331474679

Cites: 37

Cited by: 15

Related to: 10