Modelling Multivariate Volatilities via Conditionally Uncorrelated Components (Q3631467)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling Multivariate Volatilities via Conditionally Uncorrelated Components |
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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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