Multivariate stochastic volatility models: Estimation and a comparison with VGARCH models
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 5 (1998)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/jempfin
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- Ronald Mahieu & Peter Schotman, 1994. "Stochastic volatility and the distribution of exchange rate news," Discussion Paper / Institute for Empirical Macroeconomics 96, Federal Reserve Bank of Minneapolis.
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