Department of Economics and Business Economics

Timo Teräsvirta

Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model

Research output: Research - peer-reviewJournal article

  • Annastiina Silvennoinen
    Annastiina SilvennoinenQueensland University of TechnologyAustralia
  • Timo Teräsvirta
  • School of Economics and Management
Udgivelsesdato: 2009
Original languageEnglish
JournalJournal of Financial Econometrics
Volume7
Issue number4
Pages (from-to)373-411
Number of pages39
ISSN1479-8409
DOIs
StatePublished - 2009

See relations at Aarhus University Citationformats

ID: 16787833