Título:

Flexible Multivariate Garch Modeling with an Application to International Stock Markets

Autores:

Olivier Ledoit (Credit Suisse First Boston)
Pedro Santa Clara (UCLA)
Michael Wolf (U Pompeu Fabra)

Revista:

Review of Economics and Statistics

Ano:

2003

Volume:

85

Páginas:

735-747

Códigos JEL:

C32 - Time-Series Models
G15 - International Financial Markets
C51 - Model Construction and Estimation