Multivariate rotated ARCH models (Q2512636)

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Multivariate rotated ARCH models
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    title
    Multivariate rotated ARCH models (English)
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    author
    Diaa Noureldin
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    Neil Shephard
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    Kevin Sheppard
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    publication date
    7 August 2014
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    Mathematics Subject Classification ID
    62M10
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    62H12
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    62P05
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    91G70
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    zbMATH DE Number
    6327641
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    zbMATH Keywords
    RARCH
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    RBEKK
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    RDCC
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    multivariate volatility
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    covariance targeting
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    common persistence
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    OpenAlex ID
    W3121915407
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