Multivariate GARCH estimation via a Bregman-proximal trust-region method
Year of publication: |
2014
|
---|---|
Authors: | Chrétien, Stéphane ; Ortega, Juan-Pablo |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 210-236
|
Publisher: |
Elsevier |
Subject: | Multivariate GARCH | VEC model | Volatility modeling | Multivariate financial time series | Bregman divergences | Burg’s divergence | LogDet divergence | Constrained optimization |
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