A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
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- 1 July 2002
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 20 (3) , 351-362
- https://doi.org/10.1198/073500102288618496
Abstract
In this article we propose a new multivariate generalized autoregressive conditional heteroscedasticity (MGARCH) model with time-varying correlations. We adopt the vech representation based on the ...Keywords
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