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Search: subject:"Granger causality in volatility"
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DIC
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Granger causality in volatility
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Heavy-tailed distributions
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Meyer, Renate
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Yu, Jun
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School of Economics, Singapore Management University
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Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Yu, Jun
;
Meyer, Renate
-
School of Economics, Singapore Management University
-
2004
, nine multivariate SV models, including the specifications with
Granger
causality
in
volatility
, time varying correlations …
Persistent link: https://www.econbiz.de/10005091201
Saved in:
2
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Yu, Jun
;
Meyer, Renate
- In:
Econometric Reviews
25
(
2006
)
2-3
,
pp. 361-384
multivariate SV models, including the specifications with
Granger
causality
in
volatility
, time-varying correlations, heavy …
Persistent link: https://www.econbiz.de/10009228571
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