Modelling multivariate volatilities via conditionally uncorrelated components
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- Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702, September.
References listed on IDEAS
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More about this item
Keywords
bootstrap test; causality in variance; dimension reduction; extended GARCH(1; 1) model; financial returns; portfolio volatility; quasi-maximum-likelihood estimator; time series;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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