Multivariate volatility models
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- Hafner, Christian M. & Herwartz, Helmut, 2002.
"Testing for vector autoregressive dynamics under heteroskedasticity,"
SFB 373 Discussion Papers
2003,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Hafner, C.M. & Herwartz, H., 2002. "Testing for vector autoregressive dynamics under heteroskedasticity," Econometric Institute Research Papers EI 2002-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Fengler, Matthias R. & Schwendner, Peter, 2003. "Correlation Risk Premia for Multi-Asset Equity Options," SFB 373 Discussion Papers 2003,10, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-09 (All new papers)
- NEP-ETS-2001-10-09 (Econometric Time Series)
- NEP-FIN-2001-10-09 (Finance)
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