The statistical properties of the innovations in multivariate ARCH processes in high dimensions (Q5746740)
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scientific article; zbMATH DE number 6256458
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| English | The statistical properties of the innovations in multivariate ARCH processes in high dimensions |
scientific article; zbMATH DE number 6256458 |
Statements
The statistical properties of the innovations in multivariate ARCH processes in high dimensions (English)
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8 February 2014
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multivariate ARCH
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covariance matrix
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white noise residuals
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shrinkage
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0.7535911202430725
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0.7395475506782532
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0.7374261617660522
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0.7373667359352112
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0.7363682389259338
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