A suggestion for constructing a large time-varying conditional covariance matrix (Q1673539)
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scientific article; zbMATH DE number 6935648
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A suggestion for constructing a large time-varying conditional covariance matrix |
scientific article; zbMATH DE number 6935648 |
Statements
A suggestion for constructing a large time-varying conditional covariance matrix (English)
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12 September 2018
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large conditional covariance matrix
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GARCH
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multivariate GARCH
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0.7794513702392578
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0.7746906876564026
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0.7721531391143799
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0.7713420987129211
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