VAR Modeling for Dynamic Loadings Driving Volatility Strings


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BRÜGGEMANN, Ralf, Wolfgang HÄRDLE, Julius MUNGO, Carsten TRENKLER, 2008. VAR Modeling for Dynamic Loadings Driving Volatility Strings. In: Journal of Financial Econometrics. 6(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004

@article{Bruggemann2008Model-1904, title={VAR Modeling for Dynamic Loadings Driving Volatility Strings}, year={2008}, doi={10.1093/jjfinec/nbn004}, number={3}, volume={6}, journal={Journal of Financial Econometrics}, pages={361--381}, author={Brüggemann, Ralf and Härdle, Wolfgang and Mungo, Julius and Trenkler, Carsten} }

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