Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Rogier Quaedvlieg, T Bollerslev, AJ Patton

Research output: Contribution to journal › Article › Academic › peer-review

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@article{85ec742c94524d16b755407ea09005c6,

title = "Multivariate Leverage Effects and Realized Semicovariance GARCH Models",

author = "Rogier Quaedvlieg and T Bollerslev and AJ Patton",

year = "2020",

month = may,

day = "14",

doi = "10.1016/j.jeconom.2019.12.011",

language = "English",

volume = "217",

pages = "411--430",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Multivariate Leverage Effects and Realized Semicovariance GARCH Models

AU - Quaedvlieg, Rogier

AU - Bollerslev, T

AU - Patton, AJ

PY - 2020/5/14

Y1 - 2020/5/14

U2 - 10.1016/j.jeconom.2019.12.011

DO - 10.1016/j.jeconom.2019.12.011

M3 - Article

VL - 217

SP - 411

EP - 430

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 2

ER -