Multivariate <scp>GARCH</scp> Models with Correlation Clustering (Q4687275)
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scientific article; zbMATH DE number 6951799
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate <scp>GARCH</scp> Models with Correlation Clustering |
scientific article; zbMATH DE number 6951799 |
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Multivariate <scp>GARCH</scp> Models with Correlation Clustering (English)
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11 October 2018
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clustering
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discrete indicator variables
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sampling scheme
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Markov chain Monte Carlo
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volatility
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