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Keywords: Multivariate EGARCH
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Journal Articles
International Journal of Managerial Finance (2018) 14 (5): 574–590.
Published: 10 May 2018
... period. Design/methodology/approach To this end, the authors employ for the first time in the literature two well-known models while the variance equation is modeled by means of a multivariate EGARCH specification. As a robustness test an innovative nested-EGARCH model is also employed. Findings...
