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~subject:"multivariate GARCH model"
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multivariate GARCH model
Financial Integration
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Monte Carlo method
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Multivariate GARCH
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constant correlation
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maximum likelihood estimate
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varying correlation
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Asymmetric Multivariate GARCH
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Emerging Markets
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Generalized method of moments
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Tse, Y. K.
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Tse, Y.K.
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Tsui, Albert K. C.
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Tsui, Albert K.C.
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EconWPA
School of Economics, Kingston University
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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A
Multivariate
GARCH
Model with Time-Varying Correlations
Tse, Y.K.
;
Tsui, Albert K.C.
-
EconWPA
-
2000
In this paper we propose a new
multivariate
GARCH
model with time- varying correlations. We adopt the vech …
Persistent link: https://www.econbiz.de/10005062567
Saved in:
2
A
Multivariate
GARCH
Model with Time-Varying correlations
Tse, Y. K.
;
Tsui, Albert K. C.
-
EconWPA
-
2000
In this paper we propose a new
multivariate
GARCH
model with time- varying correlations. We adopt the vech …
Persistent link: https://www.econbiz.de/10005119111
Saved in:
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