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Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model
Hansen, Peter Reinhard, Janus, Pawel, Koopman, Siem JanYear:
2016
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2821497
File:
PDF, 1.66 MB
english, 2016