Structure and asymptotic theory for multivariate asymmetric conditional volatility
Various univariate and multivariate models of volatility have been used to evaluate market risk, asymmetric shocks, thresholds, leverage effects, and Value-at-Risk in economics and finance. This article is concerned with market risk, and develops a constant conditional correlation vector ARMA–asymme...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Taylor and Francis
2009
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/16633 |