Multivariate <scp>GARCH</scp> Models with Correlation Clustering

DOI10.1002/FOR.1234zbMath1397.62573OpenAlexW2329817169MaRDI QIDQ4687275

Iris W. H. Yip, Mike K. P. So

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.1234

zbMATH Keywords

clusteringMarkov chain Monte Carlovolatilitysampling schemediscrete indicator variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

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