A suggestion for constructing a large time-varying conditional covariance matrix
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
|
Subject: | Large conditional covariance matrix | GARCH | Multivariate GARCH | ARCH-Modell | ARCH model | Korrelation | Correlation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance |
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