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Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
Kawakatsu, Hiroyuki
- In:
Journal of econometric methods
10
(
2021
)
1
,
pp. 33-52
Persistent link: https://www.econbiz.de/10012437811
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Matrix exponential GARCH
Kawakatsu, Hiroyuki
- In:
Journal of econometrics
134
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2006
)
1
,
pp. 95-128
Persistent link: https://www.econbiz.de/10003368416
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