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person:"Teräsvirta, Timo"
~isPartOf:"Discussion paper series"
~person:"Dhaene, Geert"
~subject:"ARCH model"
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ARCH model
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overnight returns
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Sparse multivariate GARCH
Wu, Jianbin
;
Dhaene, Geert
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2016
Persistent link: https://www.econbiz.de/10011707052
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Mixed-frequency multivariate GARCH
Dhaene, Geert
;
Wu, Jianbin
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2016
Persistent link: https://www.econbiz.de/10011707062
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3
The risk-return tradeoff in international stock markets : one-step multivariate GARCH-M estimation with many assets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
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2016
Persistent link: https://www.econbiz.de/10011707065
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