Two Cholesky-log-GARCH models for multivariate volatilities

DOI10.1177/1471082X14551246OpenAlexW2120410017MaRDI QIDQ4971416

Konstantinos Fokianos, Xanthi Pedeli, Mohsen Pourahmadi

Publication date: 12 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x14551246

zbMATH Keywords

covariance matrixvolatilityCholesky decompositionGARCH modelhyperspherical coordinates

Mathematics Subject Classification ID

Statistics (62-XX)

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On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices ⋮ Estimation of banded time-varying precision matrix based on SCAD and group Lasso

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