Mixed-Frequency Multivariate GARCH
Author(s) -
Geert Dhaene,
Jianbin Wu
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2799569
Subject(s) - multivariate statistics , econometrics , mathematics , multivariate analysis , statistics , autoregressive conditional heteroskedasticity , volatility (finance)
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