On the univariate representation of multivariate volatility models with common factors

Research output: Working paper / Preprint › Working paper

344 Downloads (Pure)

Original language	English
Place of Publication	Maastricht
Publisher	METEOR, Maastricht University School of Business and Economics
Number of pages	19
DOIs	https://doi.org/10.26481/umamet.2011011
Publication status	Published - 1 Jan 2011

Series	METEOR Research Memorandum
Number	011

Access to Document

@techreport{f6b53ee76366468f9bf403358599620e,

title = "On the univariate representation of multivariate volatility models with common factors",

author = "A.W. Hecq and S.F.J.A. Laurent and F.C. Palm",

year = "2011",

month = jan,

day = "1",

doi = "10.26481/umamet.2011011",

language = "English",

series = "METEOR Research Memorandum",

publisher = "METEOR, Maastricht University School of Business and Economics",

number = "011",

type = "WorkingPaper",

institution = "METEOR, Maastricht University School of Business and Economics",

}

TY - UNPB

T1 - On the univariate representation of multivariate volatility models with common factors

AU - Hecq, A.W.

AU - Laurent, S.F.J.A.

AU - Palm, F.C.

PY - 2011/1/1

Y1 - 2011/1/1

U2 - 10.26481/umamet.2011011

DO - 10.26481/umamet.2011011

M3 - Working paper

T3 - METEOR Research Memorandum

BT - On the univariate representation of multivariate volatility models with common factors

PB - METEOR, Maastricht University School of Business and Economics

CY - Maastricht

ER -