Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (Q1039975)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling asymmetric volatility dynamics by multivariate BL-GARCH models |
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Modelling asymmetric volatility dynamics by multivariate BL-GARCH models (English)
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23 November 2009
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multivariate GARCH
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asymmetry
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conditional correlation
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EM algorithm
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robust conditional moment tests
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futures hedging
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