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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Multivariate Rotated ARCH models
Multivariate Rotated ARCH models
Publication information:
Noureldin, Diaa, Kevin Sheppard, and Neil Shephard. 2014. “Multivariate Rotated ARCH Models”.
Journal of Econometrics
179: 16-30.
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