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Book Chapter

Multivariate ARCH and GARCH Models

  • Lütkepohl H
Springer Berlin Heidelberg, (2005), 557-584
DOI: 10.1007/978-3-540-27752-1_16
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Lütkepohl, H. (2005). Multivariate ARCH and GARCH Models. In New Introduction to Multiple Time Series Analysis (pp. 557–584). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-540-27752-1_16

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