Large-scale volatility models: Theoretical properties of professionals' practice

Journal of Time Series Analysis

Volumn 29, Issue 3, 2008, Pages 581-599

  Zaffaroni, Paolo ^a,b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Estimation; Forecasting; GARCH, RiskmetricsTM; Multivariate volatility models

Indexed keywords

EID: 42449163794     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2007.00571.x     Document Type: Article

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