Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
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DOI: 10.1016/j.matcom.2009.07.001
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- Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.
- S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014. "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1297-1313, July.
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Keywords
Dynamic correlation; Finance; Multivariate GARCH models; Volatility;All these keywords.
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