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Number of items: 2.

Engle, Robert F; Ledoit, Olivier; Wolf, Michael (2017). Large dynamic covariance matrices. Working paper series / Department of Economics 231, University of Zurich.

Barone-Adesi, Giovanni; Engle, Robert F; Mancini, Loriano (2008). A GARCH option pricing model with filtered historical simulation. Review of Financial Studies, 21(3):1223-1258.

This list was generated on Tue Jul 25 01:58:15 2017 CEST.