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DCC-GARCH
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copula
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liquidity risk
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multiplicative error model
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Center for Financial Studies
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Copula-based dynamic conditional correlation multiplicative error processes
Bodnar, Taras
;
Hautsch, Nikolaus
-
Center for Financial Studies
-
2013
moments. The latter are modeled using a
DCC
-GARCH specification. We suggest estimating the model by composite maximum …
Persistent link: https://www.econbiz.de/10010958506
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