Hafner, C.M.

model correlation matrix garch parameter process multivariate estimate volatility return dcc model variance distribution exchange result market estimation statistic covariance series vector assumption value volatilitie causality stock error estimator break sample portfolio journal currency table engle covariance matrix section example december gdcc model january price function exchange rate returns innovation frequency matrice aggregation policy change period exchange rates erasmu condition european paper order aggregated likelihood level univariate frequency process multivariate garch processes introduction university hafner proof multivariate garch models power 1/2 proposition varma asset country square figure density deviation euro introduction equation