Multivariate models with long memory dependence in conditional correlation and volatility
Year of publication: |
2018
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Authors: | Dark, Jonathan |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 48.2018, p. 162-180
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Subject: | Multivariate HEAVY | Long memory | Dynamic conditional correlation | Forecasting | Fractional integration | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Prognoseverfahren | Forecasting model |
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