نتایج جستجو برای: multivariate garch

تعداد نتایج: 120385  

2008
Petros Dellaportas Mohsen Pourahmadi

Correlations among the asset returns are the main reason for the computational and statistical complexities of the full multivariate GARCH models. We rely on the variancecorrelation separation strategy and introduce a broad class of multivariate models in the spirit of Engle’s (2002) dynamic conditional correlation models, that is univariate GARCH models are used for variances of individual ass...

2004
Petros Dellaportas Mohsen Pourahmadi

Correlations among the asset returns are the main reason for the computational and statistical complexities of the full multivariate GARCH models. We rely on the variancecorrelation separation strategy and introduce a broad class of multivariate models in the spirit of Engle’s (2002) dynamic conditional correlation models, that is univariate GARCH models are used for variances of individual ass...

Journal: :Computational Statistics & Data Analysis 2014

Journal: :Journal of the Korean Data and Information Science Society 2014

Journal: :Stochastic Processes and their Applications 2011

Journal: :Communications in Statistics - Simulation and Computation 2006

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