TY  - RPRT
AU  - Caporin, Massimiliano
AU  - McAleer, Michael
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49255
AB  - DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface...
LA  - eng
A3  - Facultad de CC. Económicas y Empreariales. Instituto Complutense de Análisis Económico
KW  - Multivariate asymmetry
KW  - Conditional variance
KW  - Stationarity conditions
KW  - Asymptotic theory
KW  - Multivariate news impact curve.
TI  - Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH
TY  - technical report
VL  - 2009
ER  -