Multivariate rotated ARCH models

Journal of Econometrics 2014 / 03 Vol. 179; Iss. 1

Multivariate rotated ARCH models

Noureldin, Diaa, Shephard, Neil, Sheppard, Kevin
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Volume:
179
Language:
english
Journal:
Journal of Econometrics
DOI:
10.1016/j.jeconom.2013.10.003
Date:
March, 2014
File:
PDF, 1.02 MB
english, 2014
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