Cholesky-GARCH models with applications to finance (Q693317)
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scientific article; zbMATH DE number 6114111
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| English | Cholesky-GARCH models with applications to finance |
scientific article; zbMATH DE number 6114111 |
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Cholesky-GARCH models with applications to finance (English)
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7 December 2012
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autoregressive conditional heteroscedastic models
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latent factor models
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time-varying ARMA coefficients
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Cholesky decomposition
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principal components
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spectral decomposition
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stochastic volatility models
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maximum likelihood estimation
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0.7966223359107971
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0.7769187688827515
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0.7754530310630798
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0.7561878561973572
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0.7466168999671936
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