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Korrelation
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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/10011380135
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