Multivariate conditional higher moments volatility modeling (Q5453313)
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scientific article; zbMATH DE number 5260102
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| English | Multivariate conditional higher moments volatility modeling |
scientific article; zbMATH DE number 5260102 |
Statements
4 April 2008
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higher moments
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multivariate GARCHSK model
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Gram-Charlier series expansion
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independent component analysis
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time-varying risk
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0.7927950024604797
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0.7717210650444031
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0.7708701491355896
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0.7668572664260864
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