Πλοήγηση ανά Θέμα "Multivariate time-varying volatility models"
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Article
Application of three bivariate time-varying volatility models
(2001)The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...