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~accessRights:"free"
~person:"Creal, Drew"
~type_genre:"Working Paper"
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
time-varying covariance matrix of the multivariate
Student
's
t
distribution
. The key novelty of our proposed model concerns …
Persistent link: https://www.econbiz.de/10010325845
Saved in:
2
A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew
;
Koopman, Siem Jan
;
Lucas, André
-
2010
time-varying covariance matrix of the multivariate
Student
's
t
distribution
. The key novelty of our proposed model concerns …
Persistent link: https://www.econbiz.de/10011380135
Saved in:
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