A suggestion for constructing a large time-varying conditional covariance matrix
Heather D. Gibson, Stephen G. Hall, George S. Tavlas
| Year of publication: |
July 2017
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|---|---|
| Authors: | Gibson, Heather D. ; Hall, Stephen G. ; Tavlas, George S. |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 156.2017, p. 110-113
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| Subject: | Large conditional covariance matrix | GARCH | Multivariate GARCH | ARCH-Modell | ARCH model | Korrelation | Correlation | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.04.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011822383