Dynamic factor multivariate GARCH model (Q1623556)

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Dynamic factor multivariate GARCH model
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    title
    Dynamic factor multivariate GARCH model (English)
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    author
    André A. P. Santos
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    Guilherme V. Moura
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    publication date
    23 November 2018
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    zbMATH Keywords
    dynamic conditional correlation (DCC)
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    forecasting
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    Kalman filter
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    learning CAPM
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    performance evaluation
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    Sharpe ratio
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    Identifiers

    Mathematics Subject Classification ID
    62-08
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    62M10
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    62H12
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    62P05
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    zbMATH DE Number
    6983998
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