Weighted scatter estimation method of the GO-GARCH models (Q2930903)
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scientific article; zbMATH DE number 6371630
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| English | Weighted scatter estimation method of the GO-GARCH models |
scientific article; zbMATH DE number 6371630 |
Statements
Weighted scatter estimation method of the GO-GARCH models (English)
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20 November 2014
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multivariate volatility process
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extended GARCH model
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principal component analysis
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influence function
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singular value decomposition
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time series
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0.8170850276947021
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0.7534510493278503
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0.7473577857017517
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0.7395360469818115
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0.7330394983291626
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