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Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

Robert F. Engle
RePEc: Research Papers in Economics

Data up to Jan 2025

Published2000
Citations45
References0
Fields
MathematicsEconometricsStatisticsGeometry

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Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models (2000) – RePEc: Research Papers in Economics | Metascience Observatory Explorer