On the univariate representation of BEKK models with common factors
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Publication:1695673
DOI10.1515/jtse-2015-0002zbMath1499.62305OpenAlexW1499609031MaRDI QIDQ1695673
Franz C. Palm, Alain Hecq, Sébastien Laurent
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/543926/guid-72254d4e-903e-4cf5-a17c-6b801d0c8af2-ASSET1.0.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
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Liquidity and volatility in the U.S. Treasury market ⋮ Generating univariate fractional integration within a large VAR(1)
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