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- W1980634695 abstract "A multivariate extension of the exponential continuous time GARCH ( p , q ) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented." @default.
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- W1980634695 title "MULTIVARIATE ECOGARCH PROCESSES" @default.
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- W1980634695 doi "https://doi.org/10.1017/s0266466610000289" @default.
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