Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3121952473 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1101.5475 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4435426 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact matrix completion via convex optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Power of Convex Relaxation: Near-Optimal Matrix Completion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Independent component analysis, a new concept? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Trust Region Methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matrix Nearness Problems with Bregman Divergences / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE GARCH OPTION PRICING MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling Multivariate Volatilities via Conditionally Uncorrelated Components / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models and financial applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3783791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical quasi maximum likelihood inference in multivariate volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4303969 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3185327 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2880885 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5312885 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The commutation matrix: Some properties and applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate GARCH Models / rank
 
Normal rank

Latest revision as of 11:17, 17 July 2024

scientific article
Language Label Description Also known as
English
Multivariate GARCH estimation via a Bregman-proximal trust-region method
scientific article

    Statements

    Multivariate GARCH estimation via a Bregman-proximal trust-region method (English)
    0 references
    0 references
    0 references
    23 November 2018
    0 references
    multivariate GARCH
    0 references
    VEC model
    0 references
    volatility modeling
    0 references
    multivariate financial time series
    0 references
    Bregman divergences
    0 references
    Burg's divergence
    0 references
    LogDet divergence
    0 references
    constrained optimization
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references