A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Year of publication: |
2011
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Authors: | Creal, Drew ; Koopman, Siem Jan ; Lucas, André |
Published in: |
Journal of Business & Economic Statistics. - American Statistical Association. - Vol. 29.2011, 4, p. 552-563
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Publisher: |
American Statistical Association |
Saved in:
freely available
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