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~institution:"Nationalekonomiska institutionen, Stockholms Universitet"
~source:"repec"
~subject:"Multivariate GARCH"
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Multivariate GARCH
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oil prices
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structural VAR
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Marzo, Massimiliano
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Zagaglia, Paolo
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A Further Look at the 2004 Reform of the Operational Framework of the ECB
Marzo, Massimiliano
;
Zagaglia, Paolo
-
Nationalekonomiska institutionen, Stockholms Universitet
-
2009
place in March 2004. We estimate a bivariate
GARCH
model with the overnight rate and 1-year swap rate, where identifying …
Persistent link: https://www.econbiz.de/10005190659
Saved in:
2
Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Marzo, Massimiliano
;
Zagaglia, Paolo
-
Nationalekonomiska institutionen, Stockholms Universitet
-
2007
. We model the leptokurtic behavior through the multivariate
GARCH
with dynamic conditional correlations and elliptical …
Persistent link: https://www.econbiz.de/10005645456
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