A Multivariate GARCH Model with Time-Varying Correlations
Preprint
- 1 January 2000
- preprint
- Published by Elsevier in SSRN Electronic Journal
- Vol. 2001 (6) , 1184-1217
- https://doi.org/10.2139/ssrn.250228
Abstract
In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances andKeywords
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