Department of Economics and Business Economics

Timo Teräsvirta

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

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

    Annastiina Silvennoinen, Queensland University of Technology, Australia
  • 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

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