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Price, it's a GAS! Modelling Ultra-High-Frequency Covariance Dynamics with an Observation-Driven Approach
Buccheri, Giuseppe, Bormetti, Giacomo, Corsi, Fulvio, Lillo, FabrizioYear:
2017
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2912438
File:
PDF, 2.02 MB
english, 2017