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Domains : qfin.cp

Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series?

Christian Lavergne , Mohamed Saidane
American Journal of Mathematical and Management Sciences, 2011, 31 (1&2), pp.73-116. ⟨10.1080/01966324.2011.10737801⟩
Journal articles hal-00758059v1