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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Annastiina Silvennoinen and Timo Teräsvirta
Year of publication:
2005
Authors: Silvennoinen, Annastiina ; Teräsvirta, Timo
Publisher: Sydney
Subject: Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Börsenkurs | Share price | Volatilität | Volatility
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