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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
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Jakobsen, Johan Stax
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Silvennoinen, Annastiina
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2022
Persistent link: https://www.econbiz.de/10012816369
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano
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Violante, Francesco
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2021
Persistent link: https://www.econbiz.de/10012620745
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