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Modeling the dynamics of large conditional heteroskedastic covariance matrices artwork
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Modeling the dynamics of large conditional heteroskedastic covariance matrices

Fakultät für Mathematik, Informatik und Statistik - Digitale Hochschulschriften der LMU - Teil 02/02 by Ludwig-Maximilians-Universität München

Dec 11, 20150Education

Many economic and financial time series exhibit time-varying volatility. GARCH models are tools for forecasting and analyzing the dynamics of this volatility. The co-movements in financial markets and financial assets ar...

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