Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
نویسندگان
چکیده
منابع مشابه
Model and distribution uncertainty in multivariate GARCH estimation: A Monte Carlo analysis
Multivariate GARCH models are in principle able to accommodate the features of the dynamic conditional correlations processes, although with the drawback, when the number of financial returns series considered increases, that the parameterizations entail too many parameters.In general, the interaction between model parametrization of the second conditional moment and the conditional density of ...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2010
ISSN: 0167-9473
DOI: 10.1016/j.csda.2009.06.004