Unrestricted, restricted, and regularized models for forecasting multivariate volatility (Q6138238)
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scientific article; zbMATH DE number 7734252
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Unrestricted, restricted, and regularized models for forecasting multivariate volatility |
scientific article; zbMATH DE number 7734252 |
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Unrestricted, restricted, and regularized models for forecasting multivariate volatility (English)
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5 September 2023
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BEKK
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CAW
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covariance matrix
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multivariate volatility
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regularization
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ridge
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0.9157615
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0.9034201
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0.89653426
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0.8871165
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0.8868245
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0.8853246
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