Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
, exponential
smoothing, and GARCH methods. In section 3, we consider asset level analysis, modeling asset
covariance matrices using … exponential smoothing and multivariate GARCH methods, paying
special attention to dimensionality-reduction methods. In section 4 …’Brien (2002) find evidence that existing bank risk models perform
poorly and are easy outperformed by a simple univariate GARCH …