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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Janus, Paweł"
~subject:"Börsenkurs"
~type_genre:"Arbeitspapier"
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Janus, Paweł
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Realized Wishart-
GARCH
: a score-driven multi-Asset volatility model
Hansen, Peter Reinhard
;
Janus, Paweł
;
Koopman, Siem Jan
-
2016
We propose a novel multivariate
GARCH
model that incorporates realized measures for the variance matrix of returns. The …
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