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Interpreting the concept of joint unpredictability of asset returns: A distance approach

✍ Scribed by Fulvia Focker; Umberto Triacca


Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
130 KB
Volume
369
Category
Article
ISSN
0378-4371

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## Abstract The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the S‐GARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of