Modelling asset correlations during the recent FInancial crisis: A semiparametric approach
8000 Aarhus C, Denmark
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- Annastiina Silvennoinen & Timo Teräsvirta, 2009.
"Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model,"
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