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Monitoring changes in GARCH processes
Severin, Thomas, (1999)
Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaißer, Sandra Caterina, (2011)
Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina, (2009)