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A multivariate skew-garch model

De Luca, Giovanni; Genton, Marc G.; Loperfido, Nicola - In: Econometric analysis of financial and economic time series, (pp. 33-57). 2006

Empirical research on European stock markets has shown that they behave differently according to the performance of the leading financial market identified as the US market. A positive sign is viewed as good news in the international financial markets, a negative sign means, conversely, bad...

Persistent link: https://www.econbiz.de/10015385523