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Causality and forecasting in temporally aggregated multivariate GARCH processes

Hafner, Christian M

Causality and forecasting in temporally aggregated multivariate GARCH processes 2009 - 2009 - 127-146 V. 12 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Causality in variance;Multivariate GARCH;Realized volatility;Temporal aggregation;Volatility forecasts;

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