Fitting vast dimensional time-varying covariance models
Cavit Pakel, Neil Shephard, Kevin Sheppard, and Robert F. Engle
| Year of publication: |
2021
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|---|---|
| Authors: | Pakel, Cavit ; Shephard, Neil G. ; Sheppard, Kevin ; Engle, Robert F. |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 39.2021, 3, p. 652-668
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| Subject: | Composite likelihood | Dynamic conditional correlations | Multivariate ARCH models | Volatility | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Korrelation | Correlation | Volatilität | Multivariate Analyse | Multivariate analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2020.1713795 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012588005