Can the GQARCH latent factor model improve the prediction performance of multivariate financial time series?

Christian Lavergne () and Mohamed Saidane
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Christian Lavergne: I3M - Institut de Mathématiques et de Modélisation de Montpellier - UM2 - Université Montpellier 2 - Sciences et Techniques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique, UPVM - Université Paul-Valéry - Montpellier 3
Mohamed Saidane: ISCC Bizerte - Institut Supérieur de Commerce et de Comptabilité Bizerte - UCAR - Université de Carthage (Tunisie)

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Date: 2011
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Published in American Journal of Mathematical and Management Sciences, 2011, 31 (1&2), pp.73-116. ⟨10.1080/01966324.2011.10737801⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00758059

DOI: 10.1080/01966324.2011.10737801

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