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Two Cholesky-log-GARCH models for multivariate volatilities - MaRDI portal

Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416)

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scientific article; zbMATH DE number 7258988
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English
Two Cholesky-log-GARCH models for multivariate volatilities
scientific article; zbMATH DE number 7258988

    Statements

    title
    Two Cholesky-log-GARCH models for multivariate volatilities (English)
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    author
    Xanthi Pedeli
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    Konstantinos Fokianos
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    Mohsen Pourahmadi
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    publication date
    12 October 2020
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    zbMATH Keywords
    Cholesky decomposition
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    covariance matrix
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    GARCH model
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    hyperspherical coordinates
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    volatility
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    Identifiers

    zbMATH DE Number
    7258988
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    OpenAlex ID
    W2120410017
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