A suggestion for constructing a large time-varying conditional covariance matrix (Q1673539)
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scientific article; zbMATH DE number 6935648
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A suggestion for constructing a large time-varying conditional covariance matrix |
scientific article; zbMATH DE number 6935648 |
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A suggestion for constructing a large time-varying conditional covariance matrix (English)
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12 September 2018
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large conditional covariance matrix
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GARCH
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multivariate GARCH
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