Multivariate GARCH models with spherical parameterizations: an oil price application

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Luca Vincenzo Ballestra, Riccardo De Blasis, Graziella Pacelli
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
BEKK
Cholesky-GARCH
Crude oils
DCC
Exchange rates
Spherical parameterization
Online Access:https://doi.org/10.1186/s40854-024-00683-7
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://doi.org/10.1186/s40854-024-00683-7

Similar Items