Sparse multivariate GARCH
Jianbin Wu and Geert Dhaene (Econometrics)
| Year of publication: |
[2016]
|
|---|---|
| Authors: | Wu, Jianbin ; Dhaene, Geert |
| Publisher: |
Leuven : KU Leuven, Center for Economic Studies, Faculty of Economics and Business |
| Subject: | multivariate GARCH | regularization | penalized estimation | volatility spillovers | correlation spillovers | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Korrelation | Correlation | Zeitreihenanalyse | Time series analysis |