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Browsing Master theses by Subject "GARCH-BEKK"

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    • Bear Periods Amplify Correlation: A GARCH BEKK Approach 

      Rafiq Maniya, Suleman; Magnusson, Fredrik (2010-06-24)
      The aim of this paper is to see how correlation changes across time across different indices. We have used a sufficiently large benchmark period of 20 years to have a better understanding as to how correlations1have changed. ...