The Wishart Autoregressive process of multivariate stochastic volatility

Journal of Econometrics - Tập 150 Số 2 - Trang 167-181 - 2009
Christian Gouriéroux1, Joann Jasiak2, Razvan Sufana2
1CREST, University of Toronto, Canada
2York University, Toronto,Canada#TAB#

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