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Multiplicative Conditional Correlation Models for Realized Covariance Matrices

Bibliographic reference Bauwens, Luc ; Braione, Manuela ; Storti, Giuseppe. Multiplicative Conditional Correlation Models for Realized Covariance Matrices. CORE Discussion Paper ; 2016/41 (2016) 27 pages
Permanent URL http://hdl.handle.net/2078.1/178422