Explicit minimal representation of variance matrices, and its implication for dynamic volatility models (Q6553115)
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scientific article; zbMATH DE number 7862885
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| English | Explicit minimal representation of variance matrices, and its implication for dynamic volatility models |
scientific article; zbMATH DE number 7862885 |
Statements
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models (English)
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11 June 2024
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dynamic volatility models
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auto-regressive conditional heteroskedasticity (ARCH)
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stochastic volatility
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generalized auto-regressive score (GAS)
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orthogonal matrix representation
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skew-symmetry
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matrix exponential
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minimum-variance portfolios in finance
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