Marginalization and contemporaneous aggregation in multivariate GARCH processes

Theo Nijman and Enrique Sentana

Journal of Econometrics, 1996, vol. 71, issue 1-2, 71-87

Date: 1996
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Related works:
Working Paper: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1996)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes (1994)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses (1994)
Working Paper: Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes (1993)
Working Paper: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1993)
Working Paper: Marginalization and contemporaneous aggregation in multivariate GARCH processes (1993)
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