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Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-12KIER Discussion Paper747

Available onlineOther Libraries in Japan

Summary, etc....mance with the asymmetric BEKK model. The emp......e WDCC-GJR and asymmetric BEKK models. Moreover, the empiric...
Subject Heading...ess EGARCH GJR asymmetric BEKK heavy-tailed errors

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