Gian Piero Aielli, Massimiliano Caporin. Variance clustering improved dynamic conditional correlation MGARCH estimators. Computational Statistics & Data Analysis, 76:556-576, 2014. [doi]
@article{AielliC14,
title = {Variance clustering improved dynamic conditional correlation MGARCH estimators},
author = {Gian Piero Aielli and Massimiliano Caporin},
year = {2014},
doi = {10.1016/j.csda.2013.01.029},
url = {http://dx.doi.org/10.1016/j.csda.2013.01.029},
researchr = {https://researchr.org/publication/AielliC14},
cites = {0},
citedby = {0},
journal = {Computational Statistics & Data Analysis},
volume = {76},
pages = {556-576},
}