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Persistent link: https://www.econbiz.de/10011869763
The complexity of estimating multivariate GARCH models increases significantly with the increase in the number of asset series. To address this issue, we propose a general regularization framework for high-dimensional GARCH models with BEKK representations, and obtain a penalized quasi-maximum...
Persistent link: https://www.econbiz.de/10014497339
Persistent link: https://www.econbiz.de/10014229238