𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Multivariate normality via conditional specification

✍ Scribed by Barry C. Arnold; Enrique Castillo; JoséMaría Sarabia


Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
180 KB
Volume
20
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Simplified specifications of a multivari
✍ Iris W.H. Yip; Mike K.P. So 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 189 KB

Recent developments in multivariate volatility modeling suggest that the conditional correlation matrix can be described by a time series recursion, where the total number of parameters grows by the power-of-two of the dimension of financial returns. The power of two computational requirement makes