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~institution:"Department of Economics and Finance, College of Business and Economics"
~subject:"asymptotic properties"
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asymptotic properties
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McAleer, Michael
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Hafner, Christian M.
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Martinet, Guillaume Gaetan
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Department of Economics and Finance, College of Business and Economics
Tinbergen Instituut
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2014
effects of equal magnitude, and
leverage
, which refers to the negative correlation between the returns shocks and subsequent …
Persistent link: https://www.econbiz.de/10010907440
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2
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010796148
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