"Variance clustering improved dynamic conditional correlation MGARCH ..."

Gian Piero Aielli, Massimiliano Caporin (2014)

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DOI: 10.1016/J.CSDA.2013.01.029

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type: Journal Article

metadata version: 2020-02-18

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Gian Piero Aielli, Massimiliano Caporin:
Variance clustering improved dynamic conditional correlation MGARCH estimators. Comput. Stat. Data Anal. 76: 556-576 (2014)

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