Asymptotics of Cholesky GARCH models and time-varying conditional betas (Q1753058)
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scientific article; zbMATH DE number 6873124
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| English | Asymptotics of Cholesky GARCH models and time-varying conditional betas |
scientific article; zbMATH DE number 6873124 |
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Asymptotics of Cholesky GARCH models and time-varying conditional betas (English)
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25 May 2018
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multivariate-GARCH
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conditional betas
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covariance
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0.7966223359107971
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0.7749304175376892
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0.74772047996521
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0.7440508604049683
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