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

D.D. Creal, S.J. Koopman, A. Lucas

Research output: Working paperProfessional

307 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages32
Publication statusPublished - 2010

Publication series

NameTI Discussion Papers Series
No.10-032/2

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