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17:16
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Rasmus Pedersen
An Introduction to Multivariate GARCH
Introduction to multivariate GARCH. Specifically, the constant conditional correlation (CCC) GARCH. Original slides by Heino Bohn Nielsen and adapted by Rasmus Søndergaard Pedersen. Also, a short illustration of dynamic portfolio choice. Implementation in OxMetrics 8.00 using the G@RCH package. NOTE a typo @7:18: sigma(1,t)^2= ... Beta1*sigma ...
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