Modeling covariance breakdowns in multivariate GARCH (Q2630346)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling covariance breakdowns in multivariate GARCH |
scientific article |
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Modeling covariance breakdowns in multivariate GARCH (English)
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27 July 2016
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correlation breakdown
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marginal likelihood
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particle filter
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Markov chain
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generalized variance
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