Marginalization and contemporaneous aggregation in multivariate GARCH processes

T.E. Nijman, E. Sentana

    Research output: Working paperDiscussion paperOther research output

    382 Downloads (Pure)
    Original languageEnglish
    PublisherUnknown Publisher
    Number of pages23
    Volume1993-12
    Publication statusPublished - 1993

    Publication series

    NameCentER Discussion Paper
    Volume1993-12

    Keywords

    • Time Series
    • GARCH Models

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