Dynamic factor multivariate GARCH model (Q1623556)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic factor multivariate GARCH model |
scientific article |
Statements
Dynamic factor multivariate GARCH model (English)
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23 November 2018
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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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