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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
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