A multivariate skew-garch model
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Publication:3571961
DOI10.1016/S0731-9053(05)20002-6zbMath1190.91167MaRDI QIDQ3571961
Marc G. Genton, Giovanni De Luca, Nicola M. R. Loperfido
Publication date: 30 June 2010
Published in: Advances in Econometrics (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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