A simplified approach to modeling the co
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Richard D. F. Harris; Evarist Stoja; Jon Tucker
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Article
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2007
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John Wiley and Sons
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English
β 217 KB
## Abstract The authors propose a simplified multivariate GARCH (generalized autoregressive conditional heteroscedasticity) model (the SβGARCH model), which involves the estimation of only univariate GARCH models, both for the individual return series and for the sum and difference of each pair of