Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market
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KeywordsMultivariate GARCH models; Ljung-Box statistics; residual-based diagnostics; Lagrange Multiplier test;
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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