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mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic …
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financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in …
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The present thesis comprises two rather independent chapters. In general, the diagnosis and quantification of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very different...
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