Pages that link to "Item:Q1915440"
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The following pages link to Marginalization and contemporaneous aggregation in multivariate GARCH processes (Q1915440):
Displaying 12 items.
- Aggregation and memory of models of changing volatility (Q278251) (← links)
- Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks (Q295688) (← links)
- Aggregation and marginalization of GARCH processes: some further results (Q478343) (← links)
- Portfolio single index (PSI) multivariate conditional and stochastic volatility models (Q929684) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Closing the GARCH gap: Continuous time GARCH modeling (Q1126492) (← links)
- Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
- A suggestion for constructing a large time-varying conditional covariance matrix (Q1673539) (← links)
- On the univariate representation of BEKK models with common factors (Q1695673) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- Contemporaneous aggregation of GARCH processes (Q5430498) (← links)
- Stability conditions for heteroscedastic factor models with conditionally autoregressive betas (Q5495694) (← links)
