handbook of statistics --- Multivariate GARCH models for large-scale application

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

handbook of statistics: Multivariate GARCH models for large-scale applications: A survey
This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence in the second moment of multivariate return series processes. The survey is focused on feasible multivariate GARCH models for large-scale
applications, as well as on recent contributions in outlier-robust MGARCH analysis and the use of high-frequency returns or the score for covariance modeling. We discuss their likelihood-based estimation and application to forecasting and simulation with software implementations in the R-programming language.

Multivariate GARCH models for large-scale applications A survey.pdf (2.08 MB, 需要: 2 个论坛币)

2020-4-10 22:01:14 上传

需要: 2 个论坛币  [购买]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏3 回帖

关键词：时间序列 多元GARCH

thanks for sharing

tianwk 发表于 2020-4-11 15:40
thanks for sharing

thanks

点赞分享