Fitting vast dimensional time-varying covariance models
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 |
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