Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns
| Year of publication: |
2002
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|---|---|
| Authors: | Christodoulakis, George A. ; Satchell, Stephen E. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 139.2002, 2, p. 351-370
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