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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Janus, Paweł"
~subject:"ARCH model"
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Janus, Paweł
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
-
2011
Persistent link: https://www.econbiz.de/10009720703
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2
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
the variance matrix. Monte Carlo evidence for parameter
estimation
based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
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