Two Cholesky-log-GARCH models for multivariate volatilities (Q4971416)
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scientific article; zbMATH DE number 7258988
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Two Cholesky-log-GARCH models for multivariate volatilities |
scientific article; zbMATH DE number 7258988 |
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Two Cholesky-log-GARCH models for multivariate volatilities (English)
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12 October 2020
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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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