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Francesco Audrino
Information about the author Francesco Audrino will soon be added to the site.
Found
2 papers
in total
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Average conditional correlation and tree structures for multivariate GARCH models
2006
We propose a simple class of multivariate GARCH models, allowing for time-varying...
A multivariate functional gradient descent technique to improve Value-at-Risk computation in equity markets
2005
It is difficult to compute Value-at-Risk (VaR) using multivariate models able to take...
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