A latent factor model of multivariate conditional heteroscedasticity
Year of publication: |
2009
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Authors: | Aguilar, Mike |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 7.2009, 4, p. 481-503
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Subject: | Multivariate Analyse | Multivariate analysis | Theorie | Theory | ARCH-Modell | ARCH model | Faktorenanalyse | Factor analysis | Heteroskedastizität | Heteroscedasticity | Schätzung | Estimation |
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