The impact of general non-parametric volatility functions in multivariate GARCH models (Q959389)
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scientific article; zbMATH DE number 5381720
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of general non-parametric volatility functions in multivariate GARCH models |
scientific article; zbMATH DE number 5381720 |
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The impact of general non-parametric volatility functions in multivariate GARCH models (English)
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11 December 2008
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multivariate GARCH models
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asymmetric nonlinear volatility
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dynamic conditional correlations
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functional gradient descent (FGD) estimation
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