A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Year of publication: |
2011
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Authors: | Creal, Drew ; Jan Koopman, Siem ; Lucas, André |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122x. - Vol. 29.2011, 4, p. 552-564
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