A simple multivariate ARCH model specified by random coefficients

Pak Wing Fong, Wai Keung Li, Hong-Zhi An. A simple multivariate ARCH model specified by random coefficients. Computational Statistics & Data Analysis, 51(3):1779-1802, 2006. [doi]

Authors

Pak Wing Fong

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Wai Keung Li

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Hong-Zhi An

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