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~institution:"Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel"
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Component volatility models
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Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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Economics Working Papers / Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl
;
Gribisch, Bastian
;
Liesenfeld, Roman
-
Institut für Volkswirtschaftslehre, …
-
2010
Mixed
Data
Sampling (MIDAS) component and Heterogeneous Autoregressive (HAR) dynamics for long-run fluctuations. The CAW …
Persistent link: https://www.econbiz.de/10008543002
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