We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications.

Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...