A scalar dynamic conditional correlation model: structure and estimation (Q1989915): Difference between revisions

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+Variance clustering improved dynamic conditional correlation MGARCH estimators
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+GARCH processes: structure and estimation
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+Stationarity and geometric ergodicity of BEKK multivariate GARCH models
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+Asymptotic theory for multivariate GARCH processes.
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+ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS
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