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安徽财经大学中级计量经济学课件第二章第二节 ARCH和GARCH模型。
Inference on multivariate ARCH processes with large sizes
Inference multivariate ARCH processes large sizes
2010/10/29
The covariance matrix is formulated in the framework of a linear multivariate ARCH
process with long memory, where the natural cross product structure of the covariance is
generalized by adding two ...