Cholesky GAS models for large time-varying covariance matrices
Year of publication: |
2024
|
---|---|
Authors: | Zheng, Tingguo ; Ye, Shiqi |
Published in: |
Journal of management science and engineering. - Amsterdam : Elsevier, ISSN 2589-5532, ZDB-ID 2972364-4. - Vol. 9.2024, 1, p. 115-142
|
Subject: | Cholesky decomposition | GAS | Dynamic conditional correlations | Dynamic model averaging |
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