A Multivariate Threshold Varying Conditional Correlations Model
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DOI: 10.1080/07474930903327260
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- Aslanidis, Nektarios & Martínez Ibáñez, Óscar, 2012. "Modelling world investment markets using threshold conditional correlation models," Working Papers 2072/203167, Universitat Rovira i Virgili, Department of Economics.
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Keywords
Conditional correlation; Multivariate TVCC model; Threshold; Volatility;All these keywords.
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