Proximity-Structured Multivariate Volatility Models (Q5863553)

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scientific article; zbMATH DE number 7536041
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Proximity-Structured Multivariate Volatility Models
scientific article; zbMATH DE number 7536041

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    Proximity-Structured Multivariate Volatility Models (English)
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    3 June 2022
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    GARCH
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    realized volatility
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    spatial models
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    stochastic volatility
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    weight matrices
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