Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522): Difference between revisions
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Revision as of 20:53, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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