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Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
2
Mixed-frequency
multivariate
GARCH
Dhaene, Geert
;
Wu, Jianbin
-
2016
Persistent link: https://www.econbiz.de/10011707062
Saved in:
3
The risk-return tradeoff in international stock markets : one-step
multivariate
GARCH
-M estimation with many assets
Dhaene, Geert
;
Sercu, Piet
;
Wu, Jianbin
-
2016
Persistent link: https://www.econbiz.de/10011707065
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