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~subject:"Capital market returns"
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Capital market returns
finite sample properties
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
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2
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
likelihood function of RMESV-ALM, and the
finite
sample
properties
of the quasi-maximum likelihood estimator of the parameters …
Persistent link: https://www.econbiz.de/10011536626
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