Principal component models for generating large GARCH covariance matrices

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Alexander, C. (2002) Principal component models for generating large GARCH covariance matrices. Economic Notes, 31 (2). pp. 337-359. ISSN 1468-0300

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To link to this item DOI: 10.1111/1468-0300.00089

Item Type:	Article
Refereed:	Yes
Divisions:	Henley Business School > ICMA Centre
ID Code:	24029
Publisher:	Wiley

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University of Reading