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Full-Factor Multivariate GARCH Model

Vrontos, I.D et al.

Full-Factor Multivariate GARCH Model J5085 2003 - 2003 - 312-334 V. 06 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Autoregressive conditional heteroscedasticity;Bayesian model averaging;Markov chain carlo model composition;Maximum likelihood estimation;

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