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subject:"Volatilität"
~isPartOf:"Discussion paper series"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"The journal of futures markets"
~person:"Dhaene, Geert"
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Discussion paper series
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
The journal of futures markets
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Volatility spillovers : a sparse multivariate GARCH approach with an application to commodity markets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 868-887
Persistent link: https://www.econbiz.de/10013187611
Saved in:
2
Sparse multivariate GARCH
Wu, Jianbin
;
Dhaene, Geert
-
2016
Persistent link: https://www.econbiz.de/10011707052
Saved in:
3
The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
-
2016
Persistent link: https://www.econbiz.de/10011707065
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