Open AccessSparse Multivariate GARCH
Author(s) -
Jianbin Wu,
Geert Dhaene
Publication year - 2016
Publication title -
ssrn electronic journal
Language(s) - Uncategorized
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2799549
Subject(s) - multivariate statistics , econometrics , autoregressive conditional heteroskedasticity , statistics , mathematics , volatility (finance)
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