A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
Year of publication: |
2007-12
|
---|---|
Authors: | Cipollini, Fabrizio ; Engle, Robert F. ; Gallo, Giampiero M. |
Institutions: | Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze |
Subject: | Volatility | Copula functions | Forecasting | GARCH | MEM |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | Italian |
Notes: | 2 pages long |
Classification: | C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications |
Source: |
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