Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory
| Year of publication: |
2008
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|---|---|
| Authors: | Rosenow, Bernd |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 7174093. - Vol. 32.2008, 1, p. 279-302
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