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11-175/2 - Long Memory Dynamics for Multivariate Dependence under Heavy Tails


  • Authors
    Pawel Janus, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; André Lucas, VU University Amsterdam
  • Publication date
    December 12, 2011
  • Keywords
    fractional integration, correlation, Student's t copula, time-varying dependence, multivariate volatility
  • JEL
    C10, C22, C32, C51