A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

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Name	TI Discussion Papers Series
No.	10-032/2

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title = "A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations",

author = "D.D. Creal and S.J. Koopman and A. Lucas",

year = "2010",

language = "English",

series = "TI Discussion Papers Series",

publisher = "Tinbergen Instituut (TI)",

number = "10-032/2",

type = "WorkingPaper",

institution = "Tinbergen Instituut (TI)",

}

TY - UNPB

T1 - A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

AU - Creal, D.D.

AU - Koopman, S.J.

AU - Lucas, A.

PY - 2010

Y1 - 2010

M3 - Working paper

T3 - TI Discussion Papers Series

BT - A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

PB - Tinbergen Instituut (TI)

CY - Amsterdam

ER -