Zhang et al., 2009 - Google Patents
Efficient factor garch models and factor-dcc modelsZhang et al., 2009
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- 14569616231247696930
- Author
- Zhang K
- Chan L
- Publication year
- Publication venue
- Quantitative Finance
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We report that, in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on this, we propose three factor …
- 239000011159 matrix material 0 description 59
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