Flexible Dynamic Conditional Correlation multivariate GARCH models for asset allocation

Informa UK Limited - Tập 2 Số 2 - Trang 123-130 - 2006
Monica Billio1, Massimiliano Caporin1, Michele Gobbo2
1Dipartimento di Scienze Economiche , Università Ca' Foscari , Venezia, and School for Advanced Studies in Venice Foundation, Italy
2GRETA Associati , Venezia, Italy

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