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Multivariate mixed normal conditional heteroskedasticity

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Author Info
Bauwens, L.
Hafner, C.M.
Rombouts, J.V.K.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 51 (2007)
Issue (Month): 7 (April)
Pages: 3551-3566
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Handle: RePEc:eee:csdana:v:51:y:2007:i:7:p:3551-3566

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Christian M. Hafner, 2003. "Fourth Moment Structure of Multivariate GARCH Models," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 26-54.
  2. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473. [Downloadable!] (restricted)
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  3. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 211-250. [Downloadable!] (restricted)
  4. Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109. [Downloadable!]
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  5. Gray, Stephen F., 1996. "Modeling the conditional distribution of interest rates as a regime-switching process," Journal of Financial Economics, Elsevier, vol. 42(1), pages 27-62, September. [Downloadable!] (restricted)
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  1. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
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