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~institution:"Agricultural and Applied Economics Association - AAEA"
~institution:"Department of Economics, Oxford University"
~person:"Sheppard, Kevin"
~subject:"Common persistence"
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Department of Economics, Oxford University
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Multivariate
Rotated ARCH models
Noureldin, Diaa
;
Shephard, Neil
;
Sheppard, Kevin
-
Department of Economics, Oxford University
-
2012
This paper introduces a new class of
multivariate
volatility models which is easy to estimate using covariance …
Persistent link: https://www.econbiz.de/10009650771
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