Monica Billio, Massimiliano Caporin. Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis. Statistical Methods and Applications, 14(2):145-161, 2005. [doi]
@article{BillioC05, title = {Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis}, author = {Monica Billio and Massimiliano Caporin}, year = {2005}, doi = {10.1007/s10260-005-0108-8}, url = {http://dx.doi.org/10.1007/s10260-005-0108-8}, tags = {analysis, Markov}, researchr = {https://researchr.org/publication/BillioC05}, cites = {0}, citedby = {0}, journal = {Statistical Methods and Applications}, volume = {14}, number = {2}, pages = {145-161}, }