Sequential conditional correlations: inference and evaluation (Q2630121): Difference between revisions
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| Property / cites work: Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification / rank | |||
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| Property / cites work: ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL / rank | |||
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| Property / cites work: Matrix exponential GARCH / rank | |||
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| Property / cites work: Threshold heteroskedastic models / rank | |||
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Latest revision as of 07:50, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential conditional correlations: inference and evaluation |
scientific article |
Statements
Sequential conditional correlations: inference and evaluation (English)
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25 July 2016
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multivariate GARCH
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high-dimensional GARCH models
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conditional correlations
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sequential estimation
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