مرکز منطقه ای اطلاع رساني علوم و فناوري - The impact of general non-parametric volatility functions in multivariate GARCH models

Title of article :

The impact of general non-parametric volatility functions in multivariate GARCH models

Author/Authors :

Francesco Audrino، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

3032

To page :

3052

Keywords :

Multivariate GARCH models , Asymmetric non-linear volatility , Functional gradient descent (FGD) estimation , Dynamic conditional correlations

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2006

Journal title :

Computational Statistics and Data Analysis

Record number :

308066

Link To Document :