Bayesian inference of multivariate rotated GARCH models with skew returns (Q5082768)
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scientific article; zbMATH DE number 7545713
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| English | Bayesian inference of multivariate rotated GARCH models with skew returns |
scientific article; zbMATH DE number 7545713 |
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Bayesian inference of multivariate rotated GARCH models with skew returns (English)
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21 June 2022
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volatility
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skew returns
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GARCH
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BEKK
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rotated BEKK
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multivariate time series
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portfolio allocation
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0.807036817073822
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0.7910510897636414
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0.7878551483154297
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0.7856042981147766
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0.7742273211479187
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