Large-scale volatility models: theoretical properties of professionals’ practice (Q3552839): Difference between revisions
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| Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank | |||
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| Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank | |||
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| Property / cites work: Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models / rank | |||
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| Property / cites work: Asymptotic Inference about Predictive Ability / rank | |||
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Latest revision as of 18:02, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large-scale volatility models: theoretical properties of professionals’ practice |
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Large-scale volatility models: theoretical properties of professionals’ practice (English)
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22 April 2010
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GARCH
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RiskMetrics
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forecasting
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multivariate volatility model
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