Fitting vast dimensional time-varying covariance models
Cavit Pakel, Neil Shephard, Kevin Sheppard, and Robert F. Engle
| Year of publication: |
2021
|
|---|---|
| Authors: | Pakel, Cavit ; Shephard, Neil G. ; Sheppard, Kevin ; Engle, Robert F. |
| Subject: | Composite likelihood | Dynamic conditional correlations | Multivariate ARCH models | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation | Volatilität | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1713795 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588005