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Adämmer, Philipp; Bohl, Martin T.; Ledebur, Oliver von - In: Bulletin of economic research 69 (2017) 1, pp. 57-76

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Min, Hong-ghi; McDonald, Judith Ann; Shin, Sang-Ook - In: Annals of economics and finance 17 (2016) 2, pp. 365-402

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Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

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Chung, Y. Peter; Hong, Hyun A.; Kim, S. Thomas - In: Journal of empirical finance 54 (2019), pp. 190-212

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Chung, Y. Peter; Kim, Thomas S. - In: Asia-Pacific journal of financial studies 46 (2017) 5, pp. 686-699

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Hwang, Eugene; Min, Hong-ghi; Kim, Bonghan; Kim, Hyeongwoo - In: Economic modelling 35 (2013), pp. 338-348

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Saha, Shrabani; Sen, Anindya; Smith-Han, Christine; … - In: Journal of financial economic policy 14 (2022) 1, pp. 43-55

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De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2022 - This version: January 2022

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The …

Persistent link: https://www.econbiz.de/10013040932

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The …

Persistent link: https://www.econbiz.de/10012584099