Sfoglia DiSES Working Papers per Soggetto "Robust conditional moment tests"
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Modelling asymmetric volatility dynamics by multivariate bl-garch models
(2006)The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed and its statistical properties are investigated. The model can be regarded as a generalization to a multivariate setting of the univariate BLGARCH model ...