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Massimiliano Caporin
Information about the author Massimiliano Caporin will soon be added to the site.
Found
2 papers
in total
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Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
2011
Dynamic Asymmetric Multivariate GARCH (DAMGARCH) is a new model that extends the...
Scalar BEKK and indirect DCC
2008
The paper derives the scalar special case of the well-known BEKK (the acronym BEKK...
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