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

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Latest revision as of 12:17, 17 July 2024

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