Marginalization and contemporaneous aggregation in multivariate GARCH processes

Research output: Contribution to journal › Article › Scientific › peer-review

391 Downloads (Pure)

Access to Document

@article{1faf40e0ce9145fda98d40e608f92777,

title = "Marginalization and contemporaneous aggregation in multivariate GARCH processes",

author = "T.E. Nijman and E. Sentana",

note = "Pagination: 17",

year = "1996",

language = "English",

volume = "71",

pages = "71--87",

journal = "Journal of Econometrics",

issn = "0304-4076",

publisher = "Elsevier B.V.",

}