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 paper / PreprintWorking paper

286 Downloads (Pure)
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

Cite this