A Student-\(t\) full factor multivariate GARCH model (Q2655303)

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A Student-\(t\) full factor multivariate GARCH model
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    A Student-\(t\) full factor multivariate GARCH model (English)
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    25 January 2010
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    autoregressive conditional heteroscedasticity
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    fat tails
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    maximum likelihood estimation
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    Student-\(t\) distribution
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