Showing 1 - 10 of 35
Persistent link: https://www.econbiz.de/10000984425
Persistent link: https://www.econbiz.de/10000985609
Persistent link: https://www.econbiz.de/10001372063
Persistent link: https://www.econbiz.de/10001410603
Persistent link: https://www.econbiz.de/10000955840
Persistent link: https://www.econbiz.de/10001769628
Persistent link: https://www.econbiz.de/10001388258
Persistent link: https://www.econbiz.de/10001111238
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10005857739
Persistent link: https://www.econbiz.de/10003778574