Estimation and forecasting of dynamic conditional covariance: A semiparametric multivariate model

Journal of Business and Economic Statistics

Volumn 29, Issue 1, 2011, Pages 109-125

  Long, Xiangdong ^a   Su, Liangjun ^b   Ullah, Aman ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Conditional covariance matrix; Multivariate GARCH; Portfolio; Semiparametric estimator; Specification test

Indexed keywords

EID: 78449234771     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.07057     Document Type: Article

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