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Marginalization and contemporaneous aggregation in multivariate GARCH processes
Nijman,T.E. Sentana,E.
Nijman,T.E.
Sentana,E.
Abstract
Description
Pagination: 17
Date
1996
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Research Projects
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Citation
Nijman, T E & Sentana, E 1996, 'Marginalization and contemporaneous aggregation in multivariate GARCH processes', Journal of Econometrics, vol. 71, pp. 71-87.