Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467)
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scientific article; zbMATH DE number 5563364
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| English | Modelling Multivariate Volatilities via Conditionally Uncorrelated Components |
scientific article; zbMATH DE number 5563364 |
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Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (English)
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10 June 2009
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bootstrap test
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causality in variance
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dimension reduction
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extended GARCH(1, 1) model
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financial returns
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portfolio volatility
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quasi-maximum-likelihood estimator
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time series
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