Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory

Bernd Rosenow

Year of publication:	2008
Authors:	Rosenow, Bernd
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 32.2008, 1, p. 279-302
Subject:	Lineare Algebra \| Linear algebra \| Schätztheorie \| Estimation theory \| Volatilität \| Volatility \| Korrelation \| Correlation \| Börsenkurs \| Share price \| Theorie \| Theory

Check Google Scholar |

More access options

In libraries world-wide (WorldCat)

In German libraries (KVK)

Which error do you want to report?

Report: URL of this record is broken

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: Addition of an URL to that resource

Please note: Sometimes more than one URL is available for a resource. Please click on "More Options" to display these URLs

Report: The language(s) of that resource is/are…

Please note: Required language not in the list? Please use comment field

Report: Addition of an identifier to that resource

Report: report typo

Report: Add statement

Report: Add keywords

Please use the commentary box to describe other errors

Would you like to receive a feedback?

Commentary

Please type the code from the image

For general questions please use this address.

Persistent link: https://www.econbiz.de/10003622775

A service of the