The statistical properties of the innovations in multivariate ARCH processes in high dimensions
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DOI: 10.1080/14697688.2011.589399
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- Richard D. F. Harris & Anh T. H. Nguyen, 2017. "Dynamic factor long memory volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(8), pages 1205-1221, August.
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