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Multivariate time series models for asset prices

By Christian M. Hafner and Hans Manner

Abstract

In this chapter we review recent developments in time series analysis of finan-cial assets. We will focus on the multivariate aspect since in most applications the dynamics of a broad variety of assets is relevant. In many situations in finance, the high dimensional characteristics of the data can lead to numer

Year: 2016
OAI identifier: oai:CiteSeerX.psu:10.1.1.1012.9916
Provided by: CiteSeerX
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