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Apr 5, 2011 · We introduce a broad class of multivariate models where univariate GARCH models are used for variances of individual assets and parsimonious models for the ...
Cholesky-GARCH models with applications to finance. Petros Dellaportas · Mohsen Pourahmadi. Received: 22 February 2010 / Accepted: 13 December 2010.
The O-GARCH model is an accurate and efficient method for generating large covariance matrices that only requires the estimation of univariate GARCH models.
Title. Cholesky-GARCH models with applications to finance. Authors. Dellaportas, Petros; Pourahmadi, Mohsen. Publication. Statistics and Computing, 2012, ...
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Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides ...
Asymptotics of Cholesky GARCH models and time-varying ...
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This paper introduces a new model to estimate time series regressions with time-varying coefficients, called conditional betas in some financial applications.
[PDF] Two Cholesky-GARCH approaches to model multivariate volatility
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Jul 29, 2022 · Dellaportas P, Pourahmadi M (2012) Cholesky-. GARCH models with applications to finance. Stat Comput 22(4):849–855. https://doi.org/ · 10.1007 ...
Book description. Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline.
Feb 25, 2021 · The second application uses the BC-GARCH to estimate the risk premia attached to risk factors exposures. We test the linear conditional beta ...
Cholesky-GARCH models with applications to finance. Petros Dellaportas; Mohsen Pourahmadi · 05 April 2011 ; Estimating generalized semiparametric additive models ...