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Multivariate Volatility clustering based on a class of multivariate hidden markov models

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Mohamad Khaled
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hal-00318129 , version 1 (03-09-2008)

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  • HAL Id : hal-00318129 , version 1

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Mohamad Khaled. Multivariate Volatility clustering based on a class of multivariate hidden markov models. EC2, Dec 2007, Faro, Portugal. ⟨hal-00318129⟩
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