Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Article first published online: 1 FEB 2011
© 2011 The Authors. Statistica Neerlandica © 2011 VVS
Volume 65, Issue 2, pages 125–163, May 2011
How to Cite
Caporin, M. and McAleer, M. (2011), Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH. Statistica Neerlandica, 65: 125–163. doi: 10.1111/j.1467-9574.2010.00479.x
- Issue published online: 8 APR 2011
- Article first published online: 1 FEB 2011
- Received: March 2010. Revised: November 2010.
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