The Multivariate DCC-GARCH Model with Interdependence among Markets in Conditional Variances' Equations
Year of publication: |
2015
|
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Authors: | Faldzinski, Marcin ; Pietrzak, Michal Bernard |
Publisher: |
Toruń : Institute of Economic Research (IER) |
Subject: | DCC-GARCH model | interdependence | conditional variance |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | hdl:10419/219779 [Handle] RePEc:pes:wpaper:2015:no164 [RePEc] |
Classification: | C32 - Time-Series Models |
Source: |
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