The statistical properties of the innovations in multivariate ARCH processes in high dimensions
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Publication:5746740
DOI10.1080/14697688.2011.589399zbMath1280.62110OpenAlexW2084965643MaRDI QIDQ5746740
Publication date: 8 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.589399
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
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