tsmarch (Q7386507)
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Multivariate ARCH Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | tsmarch |
Multivariate ARCH Models |
Statements
Feasible Multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models including Dynamic Conditional Correlation (DCC), Copula GARCH and Generalized Orthogonal GARCH with Generalized Hyperbolic distribution. A review of some of these models can be found in Boudt, Galanos, Payseur and Zivot (2019) <doi:10.1016/bs.host.2019.01.001>.
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18 November 2024
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