Fitting and testing vast dimensional time-varying covariance models
RF Engle, N Shephard, K Sheppard - 2007 - papers.ssrn.com
Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel way of estimating models of time-varying covariances …
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Building models for high dimensional portfolios is important in risk management and asset allocation. Here we propose a novel way of estimating models of time-varying covariances …