Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (Q2116329)
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scientific article; zbMATH DE number 7491153
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| English | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management |
scientific article; zbMATH DE number 7491153 |
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management (English)
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16 March 2022
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dynamic covariance modeling
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dynamic mapping
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multivariate GARCH
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risk contribution
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tail risk
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