How long memory in volatility affects true dependence structure
Year of publication: |
2008
|
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Authors: | Mendes, Beatriz Vaz de Melo ; Kolev, Nikolai |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 17.2008, 5, p. 1070-1086
|
Subject: | Aktienmarkt | Stock market | Technologietransfer | Technology transfer | Schwellenländer | Emerging economies | Anpassung | Adjustment | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | 1994-2005 |
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