Multivariate GARCH for a large number of stocks
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References listed on IDEAS
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More about this item
KeywordsMultivarite GARCH models; CAPM; market risk;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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