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Dynamic Conditional Correlation GARCH: A Multivariate Time Series Novel using a Bayesian Approach
Dynamic Conditional Correlation GARCH: A Multivariate Time Series Novel using a Bayesian Approach
2020
Diego C. Nascimento
Cleber Xavier
Israel José dos Santos Felipe
Francisco Louzada-Neto
Keywords:
Autoregressive conditional heteroskedasticity
Correlation
Multivariate statistics
Financial contagion
Mathematics
Bayesian probability
Econometrics
Statistics
Bayesian inference
Correction
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