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Article
Title:
Flexible Multivariate Garch Modeling with an Application to International Stock Markets
Authors:
Olivier Ledoit
(
Credit Suisse First Boston
)
Pedro Santa Clara
(
UCLA
)
Michael Wolf
(
U Pompeu Fabra
)
Journal:
Review of Economics and Statistics
Year:
2003
Volume:
85
Pages:
735-747
JEL codes:
C32 - Time-Series Models
G15 - International Financial Markets
C51 - Model Construction and Estimation
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