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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 newspaper › Journal article › Research › peer-review

Standard

Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. / Silvennoinen, Annastiina; Teräsvirta, Timo.

In: Journal of Financial Econometrics, Vol. 7, No. 4, 2009, p. 373-411.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Harvard

Silvennoinen, A & Teräsvirta, T 2009, 'Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model' Journal of Financial Econometrics, vol. 7, no. 4, pp. 373-411. https://doi.org/10.1093/jjfinec/nbp013

APA

Silvennoinen, A., & Teräsvirta, T. (2009). Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. Journal of Financial Econometrics, 7(4), 373-411. https://doi.org/10.1093/jjfinec/nbp013

CBE

Silvennoinen A, Teräsvirta T. 2009. Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. Journal of Financial Econometrics. 7(4):373-411. https://doi.org/10.1093/jjfinec/nbp013

MLA

Silvennoinen, Annastiina and Timo Teräsvirta. "Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model". Journal of Financial Econometrics. 2009, 7(4). 373-411. https://doi.org/10.1093/jjfinec/nbp013

Vancouver

Silvennoinen A, Teräsvirta T. Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. Journal of Financial Econometrics. 2009;7(4):373-411. https://doi.org/10.1093/jjfinec/nbp013

Author

Silvennoinen, Annastiina ; Teräsvirta, Timo. / Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model. In: Journal of Financial Econometrics. 2009 ; Vol. 7, No. 4. pp. 373-411.

Bibtex

@article{204bc0a06ad411deb2cc000ea68e967b,
title = "Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model",
abstract = "Udgivelsesdato: 2009",
author = "Annastiina Silvennoinen and Timo Ter{\"a}svirta",
year = "2009",
doi = "10.1093/jjfinec/nbp013",
language = "English",
volume = "7",
pages = "373--411",
journal = "Journal of Financial Econometrics",
issn = "1479-8409",
publisher = "Oxford University Press",
number = "4",

}

RIS

TY - JOUR

T1 - Modelling multivariate autoregressive conditional heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model

AU - Silvennoinen, Annastiina

AU - Teräsvirta, Timo

PY - 2009

Y1 - 2009

N2 - Udgivelsesdato: 2009

AB - Udgivelsesdato: 2009

U2 - 10.1093/jjfinec/nbp013

DO - 10.1093/jjfinec/nbp013

M3 - Journal article

VL - 7

SP - 373

EP - 411

JO - Journal of Financial Econometrics

T2 - Journal of Financial Econometrics

JF - Journal of Financial Econometrics

SN - 1479-8409

IS - 4

ER -