A multivariate generalized independent factor GARCH model with an application to financial stock returns
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-10 (All new papers)
- NEP-ECM-2009-01-10 (Econometrics)
- NEP-ETS-2009-01-10 (Econometric Time Series)
- NEP-FOR-2009-01-10 (Forecasting)
- NEP-RMG-2009-01-10 (Risk Management)
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