Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (Q5392690)
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scientific article; zbMATH DE number 5877703
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model |
scientific article; zbMATH DE number 5877703 |
Statements
Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model (English)
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13 April 2011
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conditional covariance matrix
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multivariate GARCH
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portfolio
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semiparametric estimator
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specification test
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