Dynamic factor multivariate GARCH model
✍ Scribed by Santos, André A.P.; Moura, Guilherme V.
- Book ID
- 122727137
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 361 KB
- Volume
- 76
- Category
- Article
- ISSN
- 0167-9473
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract Multivariate GARCH specifications are typically determined by means of practical considerations such as the ease of estimation, which often results in a serious loss of generality. A new type of multivariate GARCH model is proposed, in which potentially large covariance matrices can be
## Abstract This paper surveys the most important developments in multivariate ARCH‐type modelling. It reviews the model specifications and inference methods, and identifies likely directions of future research. Copyright © 2006 John Wiley & Sons, Ltd.