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"Multivariate Markov switching dynamic conditional correlation GARCH ..."

Monica Billio, Massimiliano Caporin (2005)

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DOI: 10.1007/S10260-005-0108-8

access: closed

type: Journal Article

metadata version: 2020-05-25

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Monica Billio, Massimiliano Caporin:
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Stat. Methods Appl. 14(2): 145-161 (2005)

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