Zheng, Tingguo; Ye, Shiqi - In: Journal of management science and engineering 9 (2024) 1, pp. 115-142
This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....