Multivariate GARCH models with spherical parameterizations: an oil price application

Abstract In popular Baba-Engle-Kraft-Kroner (BEKK) and dynamic conditional correlation (DCC) multivariate generalized autoregressive conditional heteroskedasticity models, the large number of parameters and the requirement of positive definiteness of the covariance and correlation matrices pose some...

全面介紹

書目詳細資料

發表在:	Financial Innovation
Main Authors:	Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli
格式:	Article
語言:	英语
出版:	SpringerOpen 2025-01-01
主題:	BEKK Cholesky-GARCH Crude oils DCC Exchange rates Spherical parameterization
在線閱讀:	https://doi.org/10.1186/s40854-024-00683-7