A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Published 2011 View Full Article

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Title
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Authors
Keywords
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Journal
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
Volume 29, Issue 4, Pages 552-563
Publisher
Informa UK Limited
Online
2011-08-12
DOI
10.1198/jbes.2011.10070

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