A full-factor multivariate GARCH model
Year of publication: |
2003
|
---|---|
Authors: | Vrontos, I. D. ; Dellaportas, P. ; Politis, Dimitris N. |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 6.2003, 2, p. 312-334
|
Subject: | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Theorie | Theory |
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