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~subject:"multivariate GARCH model"
~person:"Tsui, Albert K. C."
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multivariate GARCH model
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Tsui, Albert K. C.
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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/10005119111
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