scholar.google.com › citations
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, ...
People also ask
What is the garch model in finance?
What are the applications of stochastic models in finance?
Asymptotics of Cholesky GARCH models and time-varying ...
www.sciencedirect.com › article › abs › pii
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
www.researchsquare.com › article
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 ...
Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline This book provides ...
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 ...
Rating
(6) · $108.51
Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline.
Book description. Provides a comprehensive and updated study of GARCH models and their applications in finance, covering new developments in the discipline.