Marginalization and contemporaneous aggregation in multivariate GARCH processes

T.E. Nijman, E. Sentana

Research output: Working paperDiscussion paperOther research output

298 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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