Essay On Covariance Matrices Of Return Series

Essay About Covariance Matrices Of Return Series And Autoregressive Conditional Heteroscedasticity
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Generalized Autoregressive Conditional Heteroscedasticity (garch) and Stochastic Volatility (sv) Models Essay Preview: Generalized Autoregressive Conditional Heteroscedasticity (garch) and Stochastic Volatility (sv) Models Report this essay AbstractReturn models and covariance matrices of return series have been studied. In particular, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Stochastic Volatility (SV) models are compared with respect to their fore-casting.

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