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Keywords: Multivariate GARCH
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Journal Articles
Journal:
EuroMed Journal of Business
EuroMed Journal of Business (2019) 14 (3): 209–220.
Published: 10 July 2019
... a vector autoregressive (VAR) model. Based on the principle of minimum Akaike Information Criterion values, VAR (1) model is chosen, and it can be described as: The present study specifies the positive definite covariance matrix, therefore multivariate GARCH with BEKK specification developed by Engle...
