Showing 1 - 1 of 1
In risk management, modelling large numbers of assets and their variances and covariances in a unified framework is often important. In such multivariate frameworks, it is difficult to incorporate GARCH models and thus a new member of the ARCH-family, Orthogonal GARCH, has been suggested as a...
Persistent link: https://www.econbiz.de/10005632823