Modelling volatility asymmetries: a Bayesian analysis of a...

Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models

P. Dellaportas and I. D. Vrontos
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Volume:
10
Year:
2007
Language:
english
Journal:
The Econometrics Journal
DOI:
10.2307/23126788
File:
PDF, 1.46 MB
english, 2007
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