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~isPartOf:"Econometrics"
~person:"Candila, Vincenzo"
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Double Asymmetric GARCH–
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Dynamic Conditional Correlation
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MIDAS
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covariance matrix
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cryptocurrency
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Candila, Vincenzo
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Multivariate analysis of cryptocurrencies
Candila, Vincenzo
- In:
Econometrics
9
(
2021
)
3
,
pp. 1-17
Correlation (DCC) model. In particular, we introduced the Double Asymmetric
GARCH
-MIDAS model in the DCC framework. …
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