Showing 1 - 10 of 14
Persistent link: https://www.econbiz.de/10014495380
This paper develops a new class of multivariate models for large-dimensional time-varying covariance matrices, called Cholesky generalized autoregressive score (GAS) models, which are based on the Cholesky decomposition of the covariance matrix and assume that the parameters are score-driven....
Persistent link: https://www.econbiz.de/10014504757
Persistent link: https://www.econbiz.de/10014393285
Persistent link: https://www.econbiz.de/10015065927
Persistent link: https://www.econbiz.de/10012439669
Persistent link: https://www.econbiz.de/10012587982
Persistent link: https://www.econbiz.de/10012605792
Persistent link: https://www.econbiz.de/10012483188
Persistent link: https://www.econbiz.de/10012227976
Persistent link: https://www.econbiz.de/10014448384