Identification of structural multivariate GARCH models (Q2116335)
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scientific article; zbMATH DE number 7491156
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| English | Identification of structural multivariate GARCH models |
scientific article; zbMATH DE number 7491156 |
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Identification of structural multivariate GARCH models (English)
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16 March 2022
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structural innovations
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identifying assumptions
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MGARCH
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portfolio risk
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volatility transmission
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