Dynamic Factor Multivariate GARCH Model
Copyright policy )Dynamic Factor Multivariate GARCH Model
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- Carlos III University of Madrid Spain
- University of Edinburgh United Kingdom
- Universidade Federal de Santa Catarina Brazil
Applications of statistics to actuarial sciences and financial mathematics, Estimation in multivariate analysis, Sharpe ratio, dynamic conditional correlation (DCC), forecasting, performance evaluation, Time series, auto-correlation, regression, etc. in statistics (GARCH), learning CAPM, Kalman filter, Computational methods for problems pertaining to statistics
Applications of statistics to actuarial sciences and financial mathematics, Estimation in multivariate analysis, Sharpe ratio, dynamic conditional correlation (DCC), forecasting, performance evaluation, Time series, auto-correlation, regression, etc. in statistics (GARCH), learning CAPM, Kalman filter, Computational methods for problems pertaining to statistics
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