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Apr 5, 2011 · Gaussian maximum likelihood methods of estimation of the parameters are developed. The methodology is implemented for a real financial dataset ...
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Using the Cholesky decomposition of the covari- ance matrix of such returns, we introduce a broad class of multivariate models where univariate ...
A broad class of multivariate models where univariate GARCH models are used for variances of individual assets and parsimonious models for the time-varying ...
The O-GARCH model is an accurate and efficient method for generating large covariance matrices that only requires the estimation of univariate GARCH models.
Cholesky-GARCH models with applications to finance. Authors. Dellaportas, Petros; Pourahmadi, Mohsen. Publication. Statistics and Computing, 2012, Vol 22, Issue ...
Cholesky-GARCH models with applications to finance | Petros ...
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Cholesky-GARCH models with applications to finance. Petros Dellaportas, Mohsen Pourahmadi. January 2012. Cite. Type. Journal article. Publication.
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Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline.
Asymptotics of Cholesky GARCH models and time-varying ...
www.sciencedirect.com › article › abs › pii
This paper proposes a new model with time-varying slope coefficients. Our model, called CHAR, is a Cholesky-GARCH model, based on the Cholesky decomposition ...
Feb 25, 2021 · Abstract. Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Lau- rent (2018), the paper introduces the ...
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Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline.