The conditional autoregressive Wishart model for multivariate stock market volatility

Title
The conditional autoregressive Wishart model for multivariate stock market volatility
Authors
Keywords
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Journal
JOURNAL OF ECONOMETRICS
Volume 167, Issue 1, Pages 211-223
Publisher
Elsevier BV
Online
2011-11-19
DOI
10.1016/j.jeconom.2011.11.004

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