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Modelling Multivariate Volatilities: An Ad Hoc Method - MaRDI portal

Modelling Multivariate Volatilities: An Ad Hoc Method

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Publication:5299713

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DOI10.1142/9789812567765_0006zbMath1266.62088OpenAlexW2105207576MaRDI QIDQ5299713

Mingjin Wang, Qiwei Yao

Publication date: 21 June 2013

Published in: Contemporary Multivariate Analysis and Design of Experiments (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/22886/1/Modelling_multivariate_volatilities-an_ad_hoc_approach%28LSERO%29.pdf

zbMATH Keywords

statistical estimation multivariate GARCH financial returns conditional covariance matrix

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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