Multivariate Leverage Effects and Realized Semicovariance GARCH Models

Rogier Quaedvlieg, T Bollerslev, AJ Patton

Research output: Contribution to journalArticleAcademicpeer-review

11 Citations (Scopus)
Original languageEnglish
Pages (from-to)411-430
Number of pages20
JournalJournal of Econometrics
Volume217
Issue number2
DOIs
Publication statusPublished - 14 May 2020

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