Dynamic Conditional Correlation with Elliptical Distributions
Year of publication: |
2004-06
|
---|---|
Authors: | Pelagatti, Matteo ; Rondena, Stefania |
Institutions: | Dipartimento di Statistica, Università degli Studi di Milano-Bicocca |
Subject: | Multivariate GARCH | Correlation | Elliptical distributions | Fat Tails |
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