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~institution:"Society for Computational Economics - SCE"
~institution:"Tinbergen Institute"
~institution:"Tinbergen Instituut"
~subject:"DCC"
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multivariate GARCH
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Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova
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Computing in Economics and Finance 2004
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Wake me up before you GO-GARCH
Weide, Roy van der
-
Society for Computational Economics - SCE
-
2004
"The `holy grail' in
multivariate
GARCH
modelling is without any doubt a parameterization of the covariance matrix that …
Persistent link: https://www.econbiz.de/10005706569
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