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Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
the likelihood function of RMESV-ALM, and the
finite
sample
properties
of the quasi-maximum likelihood estimator of the …
Persistent link: https://www.econbiz.de/10011586691
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