Multivariate Volatility Modeling

Tomas Cipra ()
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Tomas Cipra: Charles University, Faculty of Mathematics and Physics

Chapter Chapter 13 in Time Series in Economics and Finance, 2020, pp 351-372 from Springer

Abstract: Abstract The models of volatility in Chap. 8 are univariate, i.e., they model the volatility quite independently on other time series. It may be a drawback (particularly in finance) since

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-46347-2_13

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DOI: 10.1007/978-3-030-46347-2_13

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