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Multivariate stochastic volatility, leverage and news impact surfaces

Asai, Manabu and McAleer, Michael

Multivariate stochastic volatility, leverage and news impact surfaces 2009 - 2009 - 292-309 V. 12 Issue. 2

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Dynamic latent variables;Leverage effect;News impact function;News impact surface;Stochastic volatility;

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