Quaedvlieg, R., Bollerslev, T. and Patton, A. (2020). Multivariate Leverage Effects and Realized Semicovariance GARCH Models Journal of Econometrics, 217(2):411--430.


  • Affiliated author
    Rogier Quaedvlieg
  • Publication year
    2020
  • Journal
    Journal of Econometrics