On the univariate representation of multivariate volatility models with common factors

A.W. Hecq, S.F.J.A. Laurent, F.C. Palm

Research output: Working paperProfessional

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Original languageEnglish
Place of PublicationMaastricht
PublisherMETEOR, Maastricht University School of Business and Economics
Number of pages19
Publication statusPublished - 1 Jan 2011

Publication series

SeriesMETEOR Research Memorandum
Number011

Cite this

Hecq, A. W., Laurent, S. F. J. A., & Palm, F. C. (2011). On the univariate representation of multivariate volatility models with common factors. METEOR, Maastricht University School of Business and Economics. METEOR Research Memorandum, No. 011