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Multivariate GARCH estimation via a Bregman-proximal trust-region method - MaRDI portal

Multivariate GARCH estimation via a Bregman-proximal trust-region method (Q1623522)

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Multivariate GARCH estimation via a Bregman-proximal trust-region method
scientific article

    Statements

    title
    Multivariate GARCH estimation via a Bregman-proximal trust-region method (English)
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    author
    Stéphane Chrétien
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    Juan-Pablo Ortega
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    publication date
    23 November 2018
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    zbMATH Keywords
    multivariate GARCH
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    VEC model
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    volatility modeling
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    multivariate financial time series
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    Bregman divergences
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    Burg's divergence
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    LogDet divergence
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    constrained optimization
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    Identifiers

    Mathematics Subject Classification ID
    62-08
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    62M10
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    62P05
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    zbMATH DE Number
    6983975
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    OpenAlex ID
    W3121952473
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    arXiv ID
    1101.5475
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