Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (Q1037795)
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scientific article; zbMATH DE number 5633808
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| English | Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model |
scientific article; zbMATH DE number 5633808 |
Statements
Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model (English)
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16 November 2009
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dynamic correlation
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finance
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multivariate GARCH models
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volatility
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0.91146564
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0.88866305
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0.88186157
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