Title:

Specification and Testing of Multiplicative Time-Varying GARCH Models with Applications

Authors:

Cristina Amado (U Minho, NIPE, U Minho)
Timo Teräsvirta (Aarhus U)

Journal:

Econometric Reviews

Year:

2017

Volume:

36

Number:

1-5

Pages:

421-446

JEL codes:

C58 - Financial Econometrics
F31 - Foreign Exchange
G15 - International Financial Markets